Inclusions and Exclusions of Stocks in Cross-Border Investments: The Case of Stock Connect

IF 2.5 Q2 ECONOMICS Asia-Pacific Financial Markets Pub Date : 2022-11-29 DOI:10.1007/s10690-022-09395-3
Kin Ming Wong, Kwok Ping Tsang
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Abstract

How does the market react when more or fewer investors are allowed to trade certain stocks? Stock Connect, a cross-border investment channel between mainland China and Hong Kong, provides a natural testing ground. Investors are allowed to trade a list of qualified stocks from the stock market on the other side, and when a stock is removed from the list, investors can only sell but cannot buy that stock. We find that the inclusion of stocks is correlated with abnormal returns, implying downward-sloping demand curves for stocks. The effect weakens over time and disappears in about 40 trading days. There are no abnormal returns when stocks are removed from the list. On the other hand, when investors can only sell some stocks, they have a significantly higher propensity to sell. Their trading style becomes more contrarian for such stocks, and they tend to trade in small amounts. After 6 months, their investment behavior returns to that before the removal.

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跨境投资中股票的包含与排除——以股票通为例
当更多或更少的投资者被允许交易某些股票时,市场会有什么反应?作为中国内地与香港之间的跨境投资渠道,“沪港通”提供了一个天然的试验场。投资者可以交易来自另一边股市的合格股票名单,当一只股票被从名单上除名时,投资者只能出售但不能购买该股票。我们发现纳入股票与异常收益相关,意味着股票需求曲线向下倾斜。随着时间的推移,这种影响逐渐减弱,并在大约40个交易日内消失。当股票从列表中删除时,没有异常回报。另一方面,当投资者只能卖出部分股票时,他们的卖出倾向明显更高。对于这类股票,他们的交易风格变得更加反向,他们倾向于少量交易。6个月后,他们的投资行为恢复到移除前的状态。
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来源期刊
CiteScore
3.00
自引率
0.00%
发文量
34
期刊介绍: The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets
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