Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 181-204 |
| Number of pages | 24 |
| Journal | Journal of Accounting, Auditing and Finance |
| Volume | 39 |
| Issue number | 1 |
| Early online date | 17 Oct 2021 |
| DOIs | |
| Publication status | Published - Jan 2024 |
Keywords
- foreign investment
- informed trading
- Shanghai–Hong Kong Stock Connect
- stock market liberalization
- synchronicity
ASJC Scopus subject areas
- Accounting
- Finance
- Economics, Econometrics and Finance (miscellaneous)
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