The Information Flow Between A And H Share Stock Markets
2019 IEEE INTERNATIONAL CONFERENCE ON INDUSTRIAL CYBER PHYSICAL SYSTEMS (ICPS 2019)(2019)
摘要
China is opening its secondary markets little by little through many channels. Among all the channels, the most important one is through Hong Kong. A-H stock dual listing, Shanghai-Hong Kong stock exchange connection and Shenzhen-Hong Kong stock exchange connection are boosting the information flow between A-share and H-share stocks. A sentiment indicator is a very useful tool to measure how information from one market impacts the other market. We use this indicator as a delegate to research the information flows between A-share and H-share stocks in order to explore their cause-effect relation. The model illustrates a positive two-way cause-effect relation and some fluctuations for information flow between A-share and H-share stocks, which seem to be caused by market microstructure changes.
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Modeling, Applications, Information extraction, automatic, semi-automatic generation of metadata
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