Shanghai-Hong Kong Stock Connect and Investment Efficiency
Description
We obtained the data from the China Stock Market and Accounting Research database and Wind database. The sample consists of A-share listed companies in both Shanghai and Shenzhen stock exchanges from 2011 to 2018. Since the business content and accounting methods of the finance and assurance industry are significantly different from those of other industries, we excluded them and then filtered the sample by (1) removing abnormal companies such as special-treated firms and particular transfer firms, (2) deleting firms with asset-liability ratios greater than 1 and other variables with missing values, (3) removing firms that were delist from the Shanghai-Hong Kong Stock Connect program during the sample period, and (4) winsorizing the continuous variables at the 1st and 99th percentiles to eliminate potential outlier effects. The final sample included 14,124 firm-year observations.