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...
| Main Author: | |
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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 |
| _version_ | 1848765190143737856 |
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| author | Ji, Zhi |
| author_facet | Ji, Zhi |
| author_sort | Ji, Zhi |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T11:31:18Z |
| format | Thesis |
| id | curtin-20.500.11937-89255 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T11:31:18Z |
| publishDate | 2022 |
| publisher | Curtin University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-892552022-08-26T04:15:03Z Return and Liquidity Comovement in the Shanghai and Hong Kong Stock Connect Ji, Zhi 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. 2022 Thesis http://hdl.handle.net/20.500.11937/89255 Curtin University fulltext |
| spellingShingle | Ji, Zhi Return and Liquidity Comovement in the Shanghai and Hong Kong Stock Connect |
| title | Return and Liquidity Comovement in the Shanghai and Hong Kong Stock Connect |
| title_full | Return and Liquidity Comovement in the Shanghai and Hong Kong Stock Connect |
| title_fullStr | Return and Liquidity Comovement in the Shanghai and Hong Kong Stock Connect |
| title_full_unstemmed | Return and Liquidity Comovement in the Shanghai and Hong Kong Stock Connect |
| title_short | Return and Liquidity Comovement in the Shanghai and Hong Kong Stock Connect |
| title_sort | return and liquidity comovement in the shanghai and hong kong stock connect |
| url | http://hdl.handle.net/20.500.11937/89255 |