Stock market connection encourages local corporations cross-listing in overseas stock markets which will, theoretically, enhance the information flow between countries and the stock market efficiency. In view of a closed economy like China and a free economy like Hong Kong, the announcement of Shanghai-Hong Kong stock connection program seems to be a great opportunity for testing the well-known Efficiency Market Hypothesis (EMH). Employing Capital Asset Pricing Model (CAPM) and the random walk model suggested by previous studies, this paper will present the comparison of market performance before and after the connection as evidences for the hypothesis testing.
Fok, M. C. (2015). Empirical study: Shanghai-Hong Kong stock connection sign of efficiency improvement? Lingnan Journal of Banking, Finance and Economics, 5. Retrieve from http://commons.ln.edu.hk/ljbfe/vol5/iss1/3