Short Term Effectiveness of Chinese Stock Connect Program — a Study of the Pricing Dynamics of Cross-listed Stocks
by Kaiyu Ren
Abstract
This thesis examines the pricing dynamics of cross-listed stocks in the Chinese A-share and
Hong Kong H-share markets. By identifying an announcement-implementation window, I offer a
fresh perspective on the short-term price adjustment of cross-listed stocks around the launch of
the first Stock Connect program. My findings reveal a significant increase of the A-H price ratio,
but this price discrepancy appears to have been mitigated by the implementation of the Stock
Connect program.Additionally, my observations suggest the existence of market inefficiencies,
particularly among the groups of A-share stocks that are excluded from the Stock Connect
program.
Ronald Leven, Faculty Advisor
JEL codes: G14; G18
Where Did The Liquidity Go? The Cost of Financial Regulation to Foreign Exchange Markets
By James Stevenson
In financial markets, the terms “bull” and “bear” markets are used to describe the cyclicality of asset prices. Similar to asset price cycles, there are cycles in regulatory scrutiny. Beginning in the 1980’s, regulatory scrutiny diminished, cumulating in the repeal of the Glass-Steagall Act in 1999, allowing commercial banks and securities firms to be housed under the same roof for the first time since the 1930’s. In the aftermath of the global financial crisis in 2008 and 2009, the tides have reversed on financial regulation. With the Dodd-Frank reforms in the United States, and similar regulation being signed into law around the world, it is unknown how new regulation will affect financial markets. Legislators wrote the new rules in hopes that they would create safer financial institutions, but at what cost?
Advisor: Connel Fullenkamp | JEL Codes: G1, G12, G18 | Tagged: Dodd-Frank, Financial Regulation, Foreign Exchange, Market Liquidity, Volcker Rule
