The Shanghai-Hong Kong Stock Connect Program connects the Shanghai Stock Exchange and the Hong Kong Stock Exchange by allowing investors in each market to trade authorized shares on the other market, using their local brokers and clearing houses. We study the differential impact of the program on different groups of stocks on both the Shanghai and Hong Kong Stock Exchange: Shanghai A-shares with/without a corresponding H-share, H-shares and non-H Hong Kong shares. The study provides insights into why the prices for A-shares and corresponding H-shares do not converge after the program. It provides some evidence supporting Merton’s (1987) investor base prediction in the Chinese stock market and supports the informational advantage argument for investors when they invest in a new market.