Demand Shock, Speculative Beta, and Asset Prices: Evidence from the Shanghai-Hong Kong Stock Connect Program

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主讲人	K.C. John Wei	简介	<p>The Shanghai-Hong Kong stock connect program &ldquo;creates&rdquo; demand shocks for connected stocks in both Hong Kong and Shanghai markets. We find that compared to unconnected stocks with similar firm characteristics, connected stocks in Shanghai experience a value appreciation of 1.6% (13 billion USD) over the seven-day announcement window and a significant increase in turnover and volatility after the announcement. More importantly, the value appreciation and the increases in turnover and in volatility are all significantly larger for stocks with higher speculative beta. Our findings are consistent with the theoretical prediction that the demand elasticity of price increases speculative trading.</p>
时间	2016-10-10(Monday)16:40-18:00	地点	N303, Econ Building
讲座语言	English	主办单位	WISE & SOE
承办单位		类型	系列讲座
联系人信息		主持人	Peilin Hsieh
专题网站		专题
主讲人简介	<p>Chair Professor of Financial Economics, School of Accounting and Finance, Hong Kong Polytechnic University</p> <p>&nbsp;</p> <p><a href="/Upload/File/2016/9/20160930071428103.pdf"><span style="color: rgb(0,0,255)"><u><strong>Prof.&nbsp;K.C. John Wei's CV</strong></u></span></a></p>	期数	厦门大学金融经济学系列讲座2016秋季学期第二讲（总第21讲）

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