| | (1) | (2) | (3) | (4) |
|---|
DailySprd1 | DailySprd1 | DailySprd2 | DailySprd2 |
|---|
HSSC | 0.0046*** | 0.0019*** | 0.0039*** | 0.0016*** |
| | (21.08) | (9.86) | (20.31) | (9.43) |
Size | | 0.0023*** | | 0.0021*** |
| | | (22.74) | | (22.37) |
Lev | | − 0.0058*** | | − 0.0052*** |
| | | (− 13.71) | | (− 13.50) |
ROA | | 0.0024 | | 0.0019 |
| | | (1.57) | | (1.39) |
Cash_vol | | − 0.0002** | | − 0.0001** |
| | | (− 2.41) | | (− 2.24) |
Loss | | 0.0003 | | 0.0003 |
| | | (1.28) | | (1.31) |
Age | | 0.0002 | | 0.0001 |
| | | (1.53) | | (1.06) |
Opinion | | − 0.0002 | | − 0.0002 |
| | | (− 0.69) | | (− 0.76) |
Analyst | | − 0.0012*** | | − 0.0012*** |
| | | (− 16.74) | | (− 18.42) |
Turnover | | − 0.0008*** | | − 0.0008*** |
| | | (− 51.32) | | (− 51.74) |
_cons | − 0.0536*** | − 0.0894*** | − 0.0488*** | − 0.0802*** |
| | (− 87.16) | (− 51.65) | (− 88.88) | (− 51.35) |
Industry | Yes | Yes | Yes | Yes |
Year | Yes | Yes | Yes | Yes |
N | 17,086 | 17,086 | 17,086 | 17,086 |
adj. R2 | 0.660 | 0.757 | 0.663 | 0.758 |
- This table presents the baseline results of the effects of Shanghai-HK Connect and Shenzhen-HK Connect on market efficiency in the Chinese stock market. The dependent variable is market efficiency (DailySprd1 and DailySprd2), which is calculated by Eqs. (1) and (2). The higher the bid-ask spread, the lower the market efficiency. We reversed the number to explain market efficiency. HSSC, a dummy variable, equals to 1 if the listed firm is eligible for trading in the SH-HK or SZ-HK Stock Connect and zero otherwise. Size is the natural logarithm of total assets of firm i in year t. Lev is the book leverage calculated as total liability divided by total assets of firm i in year t. ROA is the return on assets calculated as net income divided by total assets of firm i in year t. Loss, a dummy variable, equals to 1 if a firm reports negative net income in the year and equals 0 otherwise. Cash_vol is the Standard deviation of cash flows for the past three years. Opinion, a dummy variable, equals to 1 if auditor's opinion for the year t shows standard “unqualified opinion” and 0 otherwise. Analyst is the natural logarithm of the number of financial analysts who cover a listed firm in year t. We also control the year and industry fixed effects. Columns (1) and (3) show the results without control variables while columns (2) and (4) with control variables. Robust standard errors in parentheses are clustered by firm level
- ***, **, and * denote significance at the 1%, 5%, and 10% level, respectively
