本研究探討滬港通前後中國與香港股票市場間從眾與風格投資之變化。研究結果顯示,滬港通後期中國小型股與價值股、香港大型股在市場極端低週轉率時存在顯著的從眾行為。滬港通前後中國與香港兩地市場的風格產生結構性變化,滬港通後期香港市場的報酬與橫斷面標準差變化對於中國市場的單向領先與雙向互動關係增加,特別是經由香港的大規模公司與成長股風險的變動。相較於滬港通前期,後期中國各類風格中僅價值股風險對於香港市場的單向領先與雙向互動關係增加。
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.
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