Upon the announcement of the Shanghai-Hong Kong Stock Connect program, connected stocks in the Shanghai Stock Exchange experience significant value appreciation of 1.8% over a seven-day announcement window and significant increases in turnover and volatility compared with unconnected stocks with similar firm characteristics, especially for stocks with higher market beta. The beta effect on stock prices is stronger for stocks with higher beta-to-idiosyncratic variance ratios and is reversed within three months. The results support the speculative nature of beta and the multiplier effect of speculation on demand shocks as predicted by Hong, Scheinkman, and Xiong (2006) and Hong and Sraer (2016). The announcement of the Shenzhen-Hong Kong Stock Connect program serves as an out-of-sample test and confirms our findings.

宣布沪港通计划后，与具有类似公司特征的非关联股票相比，上海证券交易所的关联股票在7天的公告时段内升值了1.8％，营业额和波幅明显增加，特别是对于具有较高市场贝塔值的股票而言。对于具有较高的beta到特殊差异比率的股票，β对股票价格的影响更强，并且在三个月内被逆转。结果支持了β的投机性以及投机对需求冲击的乘数效应，如Hong，Scheinkman和Xiong（2006）以及Hong和Sraer（2016）所预测的。深港通计划的公告是一项样本外测试，证实了我们的发现。