PyQt5 dialog closes main window

I am trying to convert PyQT4 code to PyQt5 which requires new style of connecting signals. When I use:

self.connect(okButton, SIGNAL("clicked()"),form, SLOT("accept()"))
self.connect(cancelButton, SIGNAL("clicked()"),form, SLOT("reject()"))

everything works as expected - by clicking OK or Cancel, dialog window will close. With a new style sygnals (where i guess I am doing something wrong)

okButton.clicked.connect(self.accept)
cancelButton.clicked.connect(self.reject)

after clicking Ok/Cancel, main window will close and dialog will stay. Which is definitely not what should happen.

What am I doing wrong?

import sys
from PyQt5.QtWidgets import QDialog, QApplication, QPushButton, QLabel, QHBoxLayout, QVBoxLayout, QGridLayout
# from PyQt4.QtCore import *
# from PyQt4.QtGui import *

class Form(QDialog):
    def __init__(self, parent=None):
        super(Form, self).__init__(parent)
        myButton = QPushButton("open window")
        self.myFirstLabel = QLabel("First Window")
        layout = QVBoxLayout()
        layout.addWidget(myButton)
        layout.addWidget(self.myFirstLabel)
        self.setLayout(layout)
        myButton.clicked.connect(self.openNewWindow)
        self.setWindowTitle("SecondWindowTest")

    def openNewWindow(self):
        myLabel = QLabel("Second Window")
        okButton = QPushButton("&OK")
        cancelButton = QPushButton("Cancel")
        buttonLayout = QHBoxLayout()
        buttonLayout.addStretch()
        buttonLayout.addWidget(okButton)
        buttonLayout.addWidget(cancelButton)
        layout = QGridLayout()
        layout.addWidget(myLabel, 0, 0)
        layout.addLayout(buttonLayout, 1, 1, 1, 2)
        form = QDialog()
        form.setLayout(layout)

        okButton.clicked.connect(self.accept)
        cancelButton.clicked.connect(self.reject)
        # self.connect(okButton, SIGNAL("clicked()"),form, SLOT("accept()"))
        # self.connect(cancelButton, SIGNAL("clicked()"),form, SLOT("reject()"))

        form.setWindowTitle("Second Window")
        if form.exec_():
            self.myFirstLabel.setText('OK was pressed')

app = QApplication(sys.argv)
form = Form()
form.show()
app.exec_()

The equivalent of the following connection:

self.connect(okButton, SIGNAL("clicked()"),form, SLOT("accept()"))
self.connect(cancelButton, SIGNAL("clicked()"),form, SLOT("reject()"))

In the new style of connection is:

okButton.clicked.connect(form.accept)
cancelButton.clicked.connect(form.reject)