The impact of Shanghai-Hong Kong stock connect on the effectiveness of price limits in the Chinese stock market

M.Phil.Launched in 2014, the Shanghai-Hong Kong Stock Connect (“SHSC”) is the first mutual access channel between the China and Hong Kong equity markets. The scheme allows Hong Kong and international investors to purchase eligible Shanghai-listed shares, while at the same time eligible allows Chinese investors to purchase eligible Hong Kong-listed shares. This paper aims to examine the impact of the scheme on the effectiveness of the price limit rule which is only imposed in China but not Hong Kong. Results shows that the scheme improves the delayed price discovery problem caused by price limits, but has no significant effect on the problems of volatility spillover and trading interference.於 2014 年實施 的滬港股票市場交易互聯通機制試點（「滬港通」）是內地與香港券市場之間的首個互聯通管道。該計劃允許香港及國際投資者購買合乎條件的上海市股票，同時亦讓符合資格的內地投資者購買合乎條件的香港上市股票。本文旨在驗証該計劃如何影響只有在內地實行，而沒有在香港實行的漲跌幅限制的有效性。結果表明，該計劃改善了漲跌幅限制的延遲價格發現，但對於波動溢出 問題及交易干涉上則沒有顯著影響 。Kwok, Stanley.Thesis M.Phil. Chinese University of Hong Kong 2018.Includes bibliographical references (leaves 35-38).Abstracts also in Chinese.Title from PDF title page (viewed on …)