Does the Capital Market Opening Improve the Price Discovery Efficiency of Stock Market? An Empirical Research Based on Shanghai-Hong Kong Stock Connect
Table 8
The results grouped by information transparency.
Low transparency
High transparency
Coefficient
T value
Coefficient
T value
Post
0.003
2.44
0
0.12
Open
0.001
0.98
0
0.2
Post Open
−0.005
−3.81
0
0.07
Size
0.003
4.69
0.001
1.11
Leverage
0.003
1.62
−0.005
−1.15
Roa
0.002
0.2
−0.017
−1.13
Growth
0
−0.43
0.002
1.03
Firstholder
0
0.09
0.000
2.46
Managershare
0.000
2.16
0
0.75
Boardsize
0
−0.1
0
0.86
Independ
−0.002
−0.35
−0.006
−0.59
SOE
0.001
1.06
−0.002
−1.05
Dual
0
−0.53
−0.002
−1.01
Big4
−0.003
−1.78
0.002
1.16
Analyst
0.000
−2.56
0
0.24
Liquidity
0.602
1.58
0.45
0.5
MB
−0.004
−2.15
−0.009
−2.93
Turnover
0.001
6.42
0.001
5.49
Age
0.000
−3.05
0
−0.32
Intercept
0.749
68.18
0.778
48.12
Industry
Yes
Yes
Adj R2
0.122
0.134
N
1873
626
Note: indicates significance at the 1% level, indicates significance at the 5% level, and indicates significance at the 10% level.
