Chinese Stock Markets Experience Volatility Shift After Hong Kong's Return
The study looked at stock returns, volatility, and connections between three Chinese stock markets before and after Hong Kong's return to China. Daily returns were higher in the first period and lower in the second. Volatility changes were linked to past returns, with a positive relationship in the first period but not in the second. The three markets were connected throughout the study and became more closely related after Hong Kong's return. These findings are important for policymakers and investors.