TITLE:
Herding Behavior between Chinese and Hong Kong Stock Market—Based on Shanghai-Hong Kong Stock Connect Policy
AUTHORS:
Limin He
KEYWORDS:
Herding Behavior, Shanghai-Hong Kong Stock Connect, Quantile Regression, Chinese Stock Market, HK Stock Market
JOURNAL NAME:
Modern Economy,
Vol.11 No.4,
April
16,
2020
ABSTRACT: This paper investigates herding behavior between
Chinese A-share and HK stock market based on Shanghai-Hong Kong Stock Connect. This research innovatively
details the difference in herding behavior between two markets bidirectionally.
By applying CCK model and quantile regression, we examine herding behavior
between Chinese and HK stock market in asymmetric situations from the
perspective of net capital flow of Shanghai-Hong Kong Stock Connect. Our findings suggest that the impact of HK share on A
share’s herding behavior increases after Shanghai-Hong Kong Stock Connect
starts trading. To some extent, the direction of net capital flow of
Shanghai-Hong Kong Stock Connect acts as a powerful indicator for investors,
which skillfully deflects Chinese stock market. Besides, the way in which HK’s
stock market influences that of Chinese mainland has undergone a transformation.