Connecting the markets? Recent evidence on China's capital account liberalization

Chan, MK; Kwok, S

Connecting the markets? Recent evidence on China's capital account liberalization

Chan, MK

Kwok, S

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Publication Type:: Journal Article
Citation:: Economic Modelling, 2018, 70 pp. 417 - 428
Issue Date:: 2018-04-01

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Field	Value	Language
dc.contributor.author	Chan, MK https://orcid.org/0000-0002-1010-7587	en_US
dc.contributor.author	Kwok, S	en_US
dc.date.issued	2018-04-01	en_US
dc.identifier.citation	Economic Modelling, 2018, 70 pp. 417 - 428	en_US
dc.identifier.issn	0264-9993	en_US
dc.identifier.uri	http://hdl.handle.net/10453/124001
dc.description.abstract	© 2017 Elsevier B.V. We use longitudinal data to investigate abnormal systematic changes in the price disparity of cross-listed stocks in China. We identify a recent liberalization policy that generated an unprecedented abrupt reduction in price disparity. The policy, known as Shanghai-Hong Kong Stock Connect, partially liberalizes capital flow between both stock exchanges. We find that the announcement of the policy caused the price disparity to immediately reduce by 4.0 to 4.5 percentage points. To estimate the longer-run impact, we use a panel data model and a two-step estimator that accounts for unobserved common factors and potential nonstationarity in outcomes. The effect is somewhat smaller, reducing the price disparity by 1.6 to 2.1 percentage points, or 3.0 to 3.5 percentage points after adjusting for spillovers.	en_US
dc.relation.ispartof	Economic Modelling	en_US
dc.relation.isbasedon	10.1016/j.econmod.2017.08.016	en_US
dc.subject.classification	Economics	en_US
dc.title	Connecting the markets? Recent evidence on China's capital account liberalization	en_US
dc.type	Journal Article
utslib.citation.volume	70	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1403 Econometrics	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Economics Discipline
utslib.copyright.status	closed_access
pubs.publication-status	Published	en_US
pubs.volume	70	en_US

Abstract:

© 2017 Elsevier B.V. We use longitudinal data to investigate abnormal systematic changes in the price disparity of cross-listed stocks in China. We identify a recent liberalization policy that generated an unprecedented abrupt reduction in price disparity. The policy, known as Shanghai-Hong Kong Stock Connect, partially liberalizes capital flow between both stock exchanges. We find that the announcement of the policy caused the price disparity to immediately reduce by 4.0 to 4.5 percentage points. To estimate the longer-run impact, we use a panel data model and a two-step estimator that accounts for unobserved common factors and potential nonstationarity in outcomes. The effect is somewhat smaller, reducing the price disparity by 1.6 to 2.1 percentage points, or 3.0 to 3.5 percentage points after adjusting for spillovers.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/124001