Disruption and stock markets: Evidence from Hong Kong |
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| Institution: | 1. Mekong Development Research Institute, Viet Nam;2. National Economics University, Viet Nam;3. Adelaide Business School, University of Adelaide, Adelaide, SA 5005, Australia;4. Mekong Development Research Institute, Hanoi, Viet Nam;1. School of Economics and Management, China University of Geosciences (Beijing), Beijing 100083, China;2. Key Laboratory of Carrying Capacity Assessment for Resource and Environment, Ministry of Natural Resources, Beijing 100083, China |
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| Abstract: | We examine the impact of disruption on stock markets using the 2019 Hong Kong protests for identification. We find that greater protest intensity corresponds to higher bid–ask spreads, lower trading volume, and greater return volatility for dual-listed Chinese firms’ Hong Kong (H) shares but not their home (A) shares. We also document negative abnormal returns only for these firms’ H-shares around major protest events, which shortly after exhibit reversal. Next, we validate our main findings by documenting similar results using Hong Kong-listed firms only. Overall, we provide new evidence highlighting the impact of protest-induced disruption on financial markets. |
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| Keywords: | China A-shares H-shares HKEX SSE SZSE East Asia Protests |
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