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- Publisher
- SAGE
- Copyright
- ©The Author(s) 2021
- ISSN
- 0148-558X
- eISSN
- 2160-4061
- DOI
- 10.1177/0148558x211042953
- Publisher site
- See Article on Publisher Site
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.
Journal
Journal of Accounting Auditing & Finance – SAGE
Published: Jan 1, 2024
Keywords: foreign investment; stock market liberalization; synchronicity; Shanghai–Hong Kong Stock Connect; informed trading