An Empirical Study on the Time-Varying Connectedness Between Shanghai and Hong Kong Markets—A Perspective from Liquidity and Trading Activities  

作　　者：Ping ZHAO Shouyang WANG 

机构地区：[1]Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190,China [2]School of Mathematical Sciences,University of Chinese Academy of Sciences,Beijing 100190,China [3]Center for Forecasting Science,Chinese Academy of Sciences,Beijing 100190,China

出　　处：《Journal of Systems Science and Information》2023年第6期655-670,共16页系统科学与信息学报（英文）

基　　金：Supported by the National Natural Science Foundation of China(71988101)。

摘　　要：We conduct an empirical analysis of Shanghai-Hong Kong Stock Connect to reveal the dynamic impacts of stock connect trading activity on the stock pool's Amihud illiquidity proxy, index return, and CNY-HKD exchange rate. From pairwise conditional g causality analysis, we note a mutual significant causal connection between northbound net buying volume and Shanghai stock exchange return on all frequency levels. Meanwhile, we find a significant causal impact on the Shanghai portfolio's liquidity from northbound net buying volume. And there is a significant causal impact from the southbound net buying volume on Hang Seng Index return. Both are significant at the low-frequency level. In particular, northbound trading activity stimulates the Shanghai portfolio's liquidity in the low trading activity regime from the threshold VAR analysis. In robust analysis, we find similar significant dynamic causal connection and stimulation effects for the northbound trades when replacing Amihud illiquidity with the turnover rate. The result might relate to the investment behaviors looking for opportunity in the low trading activity regime. In contrast, the investors' beliefs may vary in the high trading activity regime, which weakens the connection between trading activities and other factors like liquidity.

关 键 词：stock connect Amihud illiquidity ratio MVGC threshold VAR 

分 类 号：O212.1[理学—概率论与数理统计] F832.51[理学—数学]