Does the Capital Market Opening Improve the Price Discovery Efficiency of Stock Market? An Empirical Research Based on Shanghai-Hong Kong Stock Connect

Table 4

Comparison of the price discovery efficiency of opening stocks and nonopening stocks after opening.

	Price_info		Delay
	Coefficient	T value	Coefficient	T value
Open	−0.065	−1.14	−0.002	−2.79
Size	−0.064	−1.53	0.002	4.93
Leverage	0.191	1.31	0	0.07
Roa	0.242	0.42	0.012	1.72
Growth	0.066	1.06	−0.001	−1.22
Firstholder	−0.112	−0.66	0.006	3.27
Managershare	−0.01	−0.06	0.007	3.56
Boardsize	0.005	0.36	0.000	−1.98
Independ	0.713	1.62	−0.003	−0.54
SOE	−0.019	−0.33	0.001	1.31
Dual	0.073	1.35	0	0.3
Big4	−0.037	−0.44	0.002	1.73
Analyst	0.005	1.29	0	−0.09
Liquidity	49.718	2.2	0.748	2.42
MB	−0.176	−1.42	−0.007	−4.57
Turnover	−0.01	−1.28	0.001	13.97
Age	−0.004	−0.95	0	−0.88
Intercept	−3.600	−4.79	0.751	79.18
Industry	Yes		Yes
Adj R2	0.022		0.119
N	2733		2733

Note: indicates significance at the 1% level, indicates significance at the 5% level, and indicates significance at the 10% level.