Volume 12, Number 1, June 2017
| The Impact of Shanghai-Hong Kong Stock Connect on Positive feedback trading effect in the Hong Kong and Shanghai stock markets |
Abstract
This study aims to evaluate whether or not positive feedback trading behavior existed in Hong Kong's Hang Seng Index (HSI) and China's SSE A-share Index(ASI) and whether the Shanghai-Hong Kong Stock Connect program (SHSCP) has had the effect of enhancing positive feedback trading on HSI and ASI. The findings showed that the policy of SHSCP had a significant effect on the increase in the positive feedback trading in Hong Kong's stock market. We also found that the Hong Kong stock market reacted more significantly to the SHSCP than China's A-share stock market.
Keywords: Positive Feedback, Shanghai-Hong Kong Stock Connect Program, Hong Kong Hang Seng Index, China SSE A-share Index, GARCH Model
JEL Classification: G10, C22, C51