Data and Code for: The Stock Connect to China

Principal Investigator(s): View help for Principal Investigator(s) Zhiguo He, University of Chicago. Booth School of Business and NBER; Yuehan Wang, Central University of Finance and Economics, School of Finance; Xiaoquan Zhu, University of International Business and Economics, School of Banking and Finance

Version: View help for Version V1

Name	File Type	Size	Last Modified
Code			04/28/2023 03:28:AM
Data			04/28/2023 03:29:AM
README.pdf	application/pdf	257 KB	04/27/2023 06:52:AM

Project Citation:

He, Zhiguo, Wang, Yuehan, and Zhu, Xiaoquan. Data and Code for: The Stock Connect to China. Nashville, TN: American Economic Association [publisher], 2023. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2023-05-03. https://doi.org/10.3886/E190001V1

Project Description

Summary: As a bridge between Chinese mainland and international financial markets, the Stock Connect program allows investors on both sides to gain mutual access. By analyzing how cross-border flows respond to macro-related shocks, we show that compared with possibly homemade foreign investors, genuine foreign investors are more likely affected by the U.S. monetary shocks, the exchange rate risk, the U.S. market performance as well as the cross-market valuation disparity. The paper highlights the importance of profiling different groups of cross-border participants over market integration.

Funding Sources: Becker Friedman Institute China; National Natural Science Foundation of China (No. 72203035)

Scope of Project

Subject Terms: The Stock Connect; Cross-border flows; Macro-related shocks

JEL Classification:
      F30 International Finance: General
      G15 International Financial Markets
      G28 Financial Institutions and Services: Government Policy and Regulation

Geographic Coverage: United States, China

Data Type(s): aggregate data; event/transaction data

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Published Versions

V1 [2023-05-03]

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