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

Table 5

Comparison of the opening samples’ price discovery efficiency after and before opening.

	Price_info		Delay
	Coefficient	T value	Coefficient	T value
Post	−0.02	−0.25	−0.002	−1.71
Size	0.001	0.02	0.003	4.04
Leverage	0.13	0.57	0.003	1.02
Roa	2.126	2.15	0.001	0.07
Growth	0.096	0.94	−0.002	−1.33
Firstholder	0.056	0.25	0.006	2.31
Managershare	0.255	0.63	0.008	1.8
Boardsize	0.009	0.54	0	−0.04
Independ	0.577	1.06	−0.003	−0.55
SOE	−0.016	−0.22	−0.001	−0.83
Dual	0.058	0.56	−0.001	−1.29
Big4	−0.084	−1.02	0	−0.42
Analyst	−0.001	−0.14	0.000	−1.91
Liquidity	77.849	1.17	1.512	1.91
MB	−0.216	−1.3	−0.005	−2.56
Turnover	0.013	1.01	0.001	9.66
Age	−0.003	−0.56	0.000	−2.16
Intercept	−5.358	−5.67	0.770	73.42
Industry	Yes		Yes
Adj R2	0.034		0.129
N	1584		1781

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