Return and Liquidity Comovement in the Shanghai and Hong Kong Stock Connect
Using the liquidity and comovement measures, the study examines whether the Shanghai- Hong Kong Stock Connect drives the comovement in return and liquidity between Shanghai and Hong Kong stock exchange from 2017-2019. The study is bases on hourly trading activities of 100 Shanghai stocks and 100 Hon...
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| Format: | Thesis |
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Curtin University
2022
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| Online Access: | http://hdl.handle.net/20.500.11937/89255 |
| Summary: | Using the liquidity and comovement measures, the study examines whether the Shanghai- Hong Kong Stock Connect drives the comovement in return and liquidity between Shanghai and Hong Kong stock exchange from 2017-2019. The study is bases on hourly trading activities of 100 Shanghai stocks and 100 Hong Kong stocks, and the effect of exchange rate (HKD/CHY), to analyse the comovement in return and liquidity between two stock exchanges from 2017-2019 by Malceniece et al., (2019)’s methodologies. |
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