中文版 | English
Title

How do foreign investors affect China's stock return volatility? Evidence from the Shanghai-Hong Kong Stock Connect Program

Author
Corresponding AuthorXiong, Heng
Publication Years
2022-12-01
DOI
Source Title
ISSN
1608-1625
EISSN
2164-2257
Abstract
This paper examines the influence of foreign investors on the stock return volatility via the Shanghai- Hong Kong Stock Connect Program (SHSCP). By analysing portfolios' characteristics and utilising the Fama-Macbeth regression, we find that investing in China's mainland stock market via the SHSCP could tame the stock return volatility. The results remain significant after taking into account endogenous factors and performing several robustness tests. Our findings support the rationale for opening up China's capital market.
Keywords
URL[Source Record]
Indexed By
Language
English
SUSTech Authorship
Others
WOS Research Area
Business & Economics
WOS Subject
Business, Finance ; Economics
WOS Accession No
WOS:000905467400001
Publisher
Data Source
Web of Science
Citation statistics
Cited Times [WOS]:0
Document TypeJournal Article
Identifierhttp://kc.sustech.edu.cn/handle/2SGJ60CL/424679
DepartmentDepartment of Mathematics
Affiliation
1.Wuhan Univ, Econ & Management Sch, Wuhan, Hubei, Peoples R China
2.Univ Western Ontario, Dept Stat & Actuarial Sci, London, ON, Canada
3.Univ Philippines Visayas, Div Phys Sci & Math, Iloilo, Philippines
4.Wuhan Univ, Ningbo, Zhejiang, Peoples R China
5.Ningbo Natl Inst Insurance Dev NIID, Ningbo, Zhejiang, Peoples R China
6.Southern Univ Sci & Technol, Dept Math, Shenzhen, Guangdong, Peoples R China
7.Wuhan Univ, Econ & Management Sch, Luojia Hill, Wuhan 430072, Hubei, Peoples R China
Recommended Citation
GB/T 7714
Chen, Weihua,Mamon, Rogemar,Xiong, Heng,et al. How do foreign investors affect China's stock return volatility? Evidence from the Shanghai-Hong Kong Stock Connect Program[J]. Asia-Pacific Journal of Accounting & Economics,2022.
APA
Chen, Weihua,Mamon, Rogemar,Xiong, Heng,&Zeng, Pingping.(2022).How do foreign investors affect China's stock return volatility? Evidence from the Shanghai-Hong Kong Stock Connect Program.Asia-Pacific Journal of Accounting & Economics.
MLA
Chen, Weihua,et al."How do foreign investors affect China's stock return volatility? Evidence from the Shanghai-Hong Kong Stock Connect Program".Asia-Pacific Journal of Accounting & Economics (2022).
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