Under the pilot program, mainland-based investors can trade as much as 10.5 billion yuan ($1.7 billion) in total of Hong Kong-listed stocks per day, via yuan accounts at mainland brokerages.

Investors from the Hong Kong would be able to trade as much as 13 billion yuan per day of shares on the Chinese mainland.

Analysts are divided on the impact of the program. Most believe that the connection of the two stock markets will broaden investment channels for domestic and offshore investors, and it may also boost the valuation of some undervalued blue chips.

Li talks of linking Shanghai, Hong Kong exchanges

Cabinet calls for new share listing system

The fund and securities flows will be "isolated" within the closed loop of the two settlement systems, they said.

When Hong Kong and international investors sell A shares or mainland investors sell H shares, the money will flow back to their home market bank accounts instead of staying in the selling market, which means the program won't deepen liquidity in either market.

"We believe it won't support sustainable growth in the stock market after short-term speculation," a report issued by Shenzhen-based Essence Securities Co Ltd said.

The Hang Seng China AH Premium Index, a gauge of the price difference between A shares in Shanghai and H shares in Hong Kong, closed at 94.34 on Tuesday. It stood at 97.67 on May 9, the highest close since the cross-border trading program was unveiled.

A reading of 100 shows valuations of the two markets have converged.

"Theoretically, price convergence is certain after Shanghai and Hong Kong are linked, and thus there are arbitrage opportunities.

"However, it seems investors are still reluctant to bet on prices at the current stage," said Eric Wu, an analyst with a hedge fund based in Shanghai.