Foreign Investment and Stock Price Informativeness: Evidence From the Shanghai (Shenzhen)–Hong Kong Stock Connect
研究不同类型外国投资对中国A股股价同步性的影响，发现非分割型外国投资能降低股价同步性，而分割型则不能，并利用沪港通自然实验验证了这一因果效应。
This article investigates the impact of heterogeneous foreign investment on home market stock price informativeness. Evidence from China’s nascent A-share market shows non-segmented foreign investment reduces firms’ stock return synchronicity, while segmented foreign investment does not. Using the Shanghai (Shenzhen)–Hong Kong Stock Connect program as a natural experiment that exogenously increases non-segmented foreign ownership, we find that synchronicity drops significantly for program stocks relative to the control stocks. Our results are most consistent with an “informed trading” explanation, rather than a “learning” or “governance” explanation. These results have policy implications for stock market liberalization programs.