The influence of Southbound capital on the price volatility of Hong Kong stocks based on the PSM+DID model

Huan Zhou; Ronghua Yi

doi:10.1117/12.2638745

17 May 2022 The influence of Southbound capital on the price volatility of Hong Kong stocks based on the PSM+DID model

Huan Zhou, Ronghua Yi

Proceedings Volume 12259, 2nd International Conference on Applied Mathematics, Modelling, and Intelligent Computing (CAMMIC 2022); 122592V (2022) https://doi.org/10.1117/12.2638745
Event: 2nd International Conference on Applied Mathematics, Modelling, and Intelligent Computing, 2022, Kunming, China

Abstract

With the help of "Shanghai-Hong Kong Stock Connect" to implement quasi-natural experiment, this paper adopts the data of southbound capital and Hong Kong stocks from 2010 to 2020, and constructs PSM+DID model to compare and analyze the impact of the southbound capital on the volatility of Hong Kong stock prices after entering the Hong Kong stock market. The results show that southbound Capital can stabilize the volatility of Hong Kong stock prices by leveraging its information advantages to hold Chinese concept stocks investment. The paper also provides suggestions for the future development of China’s capital market.

Citation Download Citation

Huan Zhou and Ronghua Yi "The influence of Southbound capital on the price volatility of Hong Kong stocks based on the PSM+DID model", Proc. SPIE 12259, 2nd International Conference on Applied Mathematics, Modelling, and Intelligent Computing (CAMMIC 2022), 122592V (17 May 2022); https://doi.org/10.1117/12.2638745

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