Among all the accesses to Chinese capital market, the Connect program (including both stocks and bonds) represents the most recent “opening-up” effort from Beijing and quickly became the dominant investment channel for foreign investors. On April 10, 2014, the China Securities Regulatory Commission (CSRC, the regulator on the mainland side) and the Securities and Futures Commission (SFC, the regulator on the Hong Kong side) approved the development of a pilot program for establishing mutual market access between the mainland exchanges and Hong Kong Stock Exchange (HKEX). Accordingly, the “Shanghai-Hong Kong Stock Connect” and “Shenzhen- Hong Kong Stock Connect” were officially launched on November 17, 2014 and December 5, 2016, respectively.

By analyzing how cross-border flows respond to macro-related shocks, we show that compared with possibly homemade foreign investors, genuine foreign investors are more likely affected by the U.S. monetary shocks, the exchange rate risk, the U.S. market performance as well as the cross-market valuation disparity. The paper highlights the importance of profiling different groups of cross-border participants over market integration.