Return and Liquidity Comovement in the Shanghai and Hong Kong Stock Connect
Access Status
Open access
Authors
Ji, Zhi
Date
2022Supervisor
Robert Durand
Priyantha Mudalige
Type
Thesis
Award
PhD
Metadata
Show full item recordFaculty
Business and Law
School
School of Accounting, Economics and Finance
Collection
Abstract
Using the liquidity and comovement measures, the study examines whether the Shanghai- Hong Kong Stock Connect drives the comovement in return and liquidity between Shanghai and Hong Kong stock exchange from 2017-2019. The study is bases on hourly trading activities of 100 Shanghai stocks and 100 Hong Kong stocks, and the effect of exchange rate (HKD/CHY), to analyse the comovement in return and liquidity between two stock exchanges from 2017-2019 by Malceniece et al., (2019)’s methodologies.
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