Download or read book The Impact of Shanghai-Hong Kong Stock Connect Policy on Price Difference and Announcement Effects written by Han-Ching Samprass huang and published by . This book was released on 2017 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the impact of “Shanghai-Hong Kong Stock Connect Policy” on price difference and announcement effects of A Shares and H Shares, using daily data from Aug., 2014 to Feb., 2015. Data were obtained from Bloomberg. To be comparable, we collect simultaneous trading data. We find that listed time and SSE 180 sample share variables have a significant effect on price difference. The price difference after Shanghai-Hong Kong Stock Connect Policy is bigger than the price difference before Shanghai-Hong Kong Stock Connect Policy. Moreover, we find that implementation of the Shanghai-Hong Kong Stock Connect Policy has announcement effects.