Advances in Management and Applied Economics

The Cross-Border Price Discovery and the Shanghai-Hong Kong Stock Connect

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• Abstract

  This study mainly investigates the price discovery relationship between stock and futures markets and the cross-border price discovery relationship between Chinese and Hong Kong markets after the launch Shanghai-Hong Kong Stock Connect Progress. We find that this progress increases the speed of adjustment from the long-term equilibrium in the Chinese spot and futures markets. Moreover, the price discovery process mainly happens in Hong Kong’s spot and futures markets. Final, cross-border price discovery is from Hong Kong to China after this progress.

  JEL classification numbers: G15, G18

  Keywords: Price Discovery, Shanghai-Hong Kong Stock Connect