Herding and Style Investing in China and Hong Kong Stock Market During Shanghai-Hong Kong Stock Connect

• Main Authors: LYU,YI-RU, 呂依儒
• Other Authors: LAIH,YIH-WENN
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/83015734940469548731

碩士 === 嶺東科技大學 === 財務金融系碩士班 === 104 === This study investigates the herding and style investing between China and Hong Kong stock market during the Shanghai-Hong Kong Stock Connect. We find that Chinese stocks with small scale and low market-to-book ratio, as well as large scale stocks from Hong Kong exhibit significantly herding behavior after the Shanghai-Hong Kong Stock Connect and during extremely lower turnover period. China and Hong Kong stock market have structural change in style investing during Shanghai-Hong Kong Stock Connect. The cross-sectional standard deviations (CSSD) and return of Hong Kong market have more granger cause and two-way causality with Chinese market especially via the large-scale companies and growth stocks in Hong Kong after Shanghai-Hong Kong Stock Connect. Meanwhile, only the CSSD of value stocks in Chinese market granger cause and two-way causality with Hong Kong market.