Cash flowed from China to the Hong Kong stock market to feed a trading frenzy, pushing the Hang Seng index more than 4% higher on opening.
Mainland investors have been scooping up Hong Kong equites for about a week since Beijing allowed Chinese managed funds to buy directly rather than through a quota system.
The Hang Seng is trading at seven year highs on record trading volumes.
Market capitalization has hit $HK28.6 trillion ($AU4.8 trillion), the highest capitalised exchange in the world.
Turnover rose to an all-time high of $252.4 billion on Wednesday, exceeding the previous record of $211 billion set in October 2007.
The Mainland China institutional investors are now using the HK exchange’s Stock Connect, a way to trade directly.
HKEx Chairman C K Chow says this is providing another source of market liquidity.
“Investors should always be cautious, especially in times of very positive market sentiment, because it can come and go,” Mr Chow said.
“We are in the midst of a profound structural change: the gradual but accelerating opening of Mainland China’s financial markets. Stock Connect is less than five months old and there’s much more to come.”