Abstract: As a kind of bilateral connection policy, SH-HK Stock Connect has a different effect on market efficiency compared with the opening policy of traditional financial market. In order to investigate the effect of the connection policy on the price discovery speed of Shanghai Stock market, the paper conducts DID regression analysis based on the bilateral transaction data of SH- HK Stock Connect, and divides the price discovery speed of securities into “price reflecting the speed of market public information” and “price reflecting the speed of idiosyncratic information of stocks”. Research finds that the implementation of the SH-HK connect mechanism significantly accelerates “price reflecting the speed of market public information”, but may decrease “price reflecting the speed of idiosyncratic information of stocks” underlying stock in shanghai Stock Exchange. What′s more, trading of the underlying stocks in Shanghai plays the same role as above, while trading of the underlying stocks in Hong Kong may have opposite effect and would be conducive to accelerate “price reflecting the speed of market public information”.What we found in this paper provide positive evidence for the forthcoming program such as Shanghai-London stock connect, Shenzhen-Hong Kong stock connect.

Key words: SH-HK Stock Connect, price discovery speed, price delay, information efficiency