Abstract
China is gradually opening its secondary markets through many channels. Among all the channels, one of the most important channels is through Hong Kong. QFII, QDII, RQFII, RQDII, the dual listing of A-H stocks, the Shanghai-Hong Kong Stock Connect and the Shenzhen-Hong Kong Stock Connect are all boosting the co-movement between Mainland and Hong Kong capital markets. We find that economic dependency, arbitrage strategy and information flow construct the transmission mechanism of the co-movement between Mainland China and Hong Kong capital markets and make the pricing of financial instruments in these markets much more efficient. While the co-movement effect is strengthened by increasing capital investment and commodity imports and exports, some fluctuations are caused by policy shocks and the life cycle of arbitrage.
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Shang, X., Zhou, Y., Lin, J. (2020). The Study of Co-movement Mechanisms Between the Mainland Chinese and Hong Kong Capital Markets. In: Bucciarelli, E., Chen, SH., Corchado, J. (eds) Decision Economics: Complexity of Decisions and Decisions for Complexity. DECON 2019. Advances in Intelligent Systems and Computing, vol 1009. Springer, Cham. https://doi.org/10.1007/978-3-030-38227-8_29
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DOI: https://doi.org/10.1007/978-3-030-38227-8_29
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