| Title | How do foreign investors affect China's stock return volatility? Evidence from the Shanghai-Hong Kong Stock Connect Program |
| Author | |
| Corresponding Author | Xiong, 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 Type | Journal Article |
| Identifier | http://kc.sustech.edu.cn/handle/2SGJ60CL/424679 |
| Department | Department 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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