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Financial Innovation

Table 4 Stock connect and market efficiency: the role of corporate governance

From: The effect of overseas investors on local market efficiency: evidence from the Shanghai/Shenzhen–Hong Kong Stock Connect

 

(1)

(2)

DailySprd1

DailySprd2

HSSC

0.0020***

0.0017***

 

(9.03)

(8.63)

DA

 − 0.0019***

 − 0.0017***

 

(− 4.14)

(− 4.04)

HSSC × DA

 − 0.0042**

 − 0.0036**

 

(− 2.51)

(− 2.37)

Size

0.0024***

0.0021***

 

(21.75)

(21.44)

Lev

 − 0.0063***

 − 0.0056***

 

(− 13.92)

(− 13.73)

ROA

0.0022

0.0018

 

(1.38)

(1.23)

Cash_vol

 − 0.0001*

 − 0.0001*

 

(− 1.87)

(− 1.76)

Loss

0.0004

0.0004

 

(1.64)

(1.61)

Age

0.0002*

0.0001

 

(1.82)

(1.34)

Opinion

 − 0.0004

 − 0.0003

 

(− 0.91)

(− 0.88)

Analyst

 − 0.0012***

 − 0.0012***

 

(− 16.02)

(− 17.68)

Turnover

 − 0.0008***

 − 0.0008***

 

(− 49.49)

(− 49.77)

_cons

 − 0.0903***

 − 0.0811***

 

(− 48.60)

(− 48.48)

Industry

Yes

Yes

Year

Yes

Yes

N

15,763

15,763

adj. R2

0.758

0.759

  1. Following Gul et al. (2010), we adopt the interaction terms HSSC*DA to investigate how cross-sectional variations in corporate governance quality change our baseline results. Based on Jones (1991), we use the absolute value of the firms’ discretionary accruals as a proxy for corporate governance. The higher the value of DA, the lower the corporate governance quality
  2. ***, **, and * denote significance at the 1%, 5%, and 10% level, respectively
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