Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Determining The Contributions To Price Discovery Of China Cross Listed Stocks PDF full book. Access full book title Determining The Contributions To Price Discovery Of China Cross Listed Stocks.
| Author | : Qian Su |
| Publisher | : |
| Total Pages | : 188 |
| Release | : 2005 |
| Genre | : Corporations, Chinese |
| ISBN | : |
| Author | : Qian Su |
| Publisher | : |
| Total Pages | : 28 |
| Release | : 2005 |
| Genre | : Corporations, Chinese |
| ISBN | : |
| Author | : Marc K. Chan |
| Publisher | : |
| Total Pages | : 29 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
We analyze the effects of a recent financial reform that enables cross-market investment between Hong Kong and Shanghai stock exchanges. Using a vector error-correction model, we find that the reform announcement considerably narrows the equilibrium level of price disparity and strengthens the price comovement of shares that are cross-listed in both markets. First, there is a substantial increase in the number of cross-listed firms with cointegrated share prices, and the estimated equilibrium relationship is in support of the relative law of one price. Second, our model predicts that the price disparity narrows by as much as 40 percent in equilibrium. Third, we find that both markets adjust in response to a disequilibrium in price disparity, leading to a sizable error-correction activity. The Shanghai market contributes to approximately two-thirds of the price discovery process. Competition and informativeness of trading affect the relative role of price discovery in each market.
| Author | : Roberto Pascual |
| Publisher | : |
| Total Pages | : 34 |
| Release | : 2009 |
| Genre | : |
| ISBN | : |
This paper analyzes the price discovery process of securities that trade at multiple markets with trading sessions that totally or partially overlap. Building on Hasbrouck (1995) information share approach, we introduce a methodology that distinguishes two sources of information asymmetries between markets: traderelated and trade-unrelated informative shocks. This approach determines how much of each market's relative contribution to the price discovery process during the overlapping period is attributable to its own trading activity. We provide empirical evidence on the contribution of the NYSE in the price discovery process of the Spanish cross-listed stocks during the daily two-hour overlapping interval.
| Author | : Shan Li |
| Publisher | : |
| Total Pages | : 262 |
| Release | : 2013 |
| Genre | : Corporate governance |
| ISBN | : |
I examine the impact of cross-listing on firm-specific information utilizing the unique features of the Chinese capital markets. By separating the trading activity of domestic Chinese investors from that of foreign non-Chinese investors, this thesis is able to isolate each investor group's relative ability to impound firm-specific information into stock prices. I show that the cross-listed H-shares traded by foreign investors incorporate significantly more firm-specific information than their A-share counterparts traded by domestic Chinese investors. I find a similar pattern between H-shares and A-shares even after a 2007 regulatory change that allowed domestic Chinese investors to trade in the H-share market. This finding suggests that while institutional factors (e.g., stricter listing rules, stronger investor protection) can explain some of the benefits of cross-listing, foreign investors' ability to utilize firm-specific information plays a separate and distinct role in generating cross-listing benefits. The level of information improvement due to foreign investors depends on the quality of the cross-listed firm's corporate governance.
| Author | : Jingyun Ma |
| Publisher | : |
| Total Pages | : 43 |
| Release | : 2010 |
| Genre | : |
| ISBN | : |
In a developing stock market such as China, where do informed traders locatelsquo; Does information originate with traders able to access companies, officials and insiders or are foreigners better informedlsquo; We examine the price discovery process for Chinese stocks simultaneously traded in Mainland China and the Hong Kong market. The mainland contributes most to price discovery, according to Hasbrouck's (1995) IS method and the Gonzalo and Granger (1995) PT method. We find a significantly positive relationship between the mainland's share of price discovery and the relative adverse selection component of the effective spread. Consequently, the informational advantage of domestic investors would appear to be the reason that the mainland dominates price discovery.
| Author | : Sanjiv Sabherwal |
| Publisher | : |
| Total Pages | : |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
We investigate price discovery for internationally traded stocks. For a sample of Canadian stocks cross-listed on the Toronto Stock Exchange (TSE) and the NYSE, we find that both markets contribute to price discovery. The U.S. share of price discovery ranges from 0.4 percent to 98.1 percent, and averages 36 percent. The U.S. contribution is directly related to the U.S. share of trading and to the ratio of proportions of informative trades on the NYSE and the TSE, and inversely related to the ratio of bid-ask spreads on the NYSE and the TSE. In response to a positive shock to the C$/US$ exchange rate, stock prices on the TSE rise, whereas those on the NYSE decline. The NYSE bears a much greater burden of adjusting to the exchange rate changes.
| Author | : Liu, Lixian |
| Publisher | : IGI Global |
| Total Pages | : 380 |
| Release | : 2014-01-31 |
| Genre | : Business & Economics |
| ISBN | : 1466650486 |
While many nations are still struggling from the global financial crisis and regaining their financial security, investors are considering alternative options for investing their money; and the secure financial sector is China appears as a viable option. International Cross-Listing of Chinese Firms examines the successful techniques and strategies that Chinese companies are using within their financial practices. It highlights the foreign-based multinational enterprise theories related to the major international stock markets. By providing the latest theories and research, this book will be beneficial for business practitioners, researchers, and managers interested in the relationship between cross-listing and firm valuation of Chinese firms.
| Author | : Yoichi Otsubo |
| Publisher | : |
| Total Pages | : 34 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
This study examines the role for the Tokyo and the New York Stock Exchange in price discovery for Japanese shares. The two markets' trading hours do not overlap and the trading volume concentrates in Tokyo. State space model approach is employed to investigate the contribution and the efficiency of price discovery. We find that the size of information incorporated in prices observed at Tokyo is greater than in New York. More than 90% of the information is incorporated during the trading hours in the domestic market. In contrast the speed of incorporating information into prices is faster in New York than in Tokyo. New York takes less than half of what Tokyo takes to incorporate information. Our simulation suggests that the contribution on price discovery by New York Stock Exchange would be non-trivial if the two markets open simultaneously.
| Author | : Albert J. Menkveld |
| Publisher | : |
| Total Pages | : 33 |
| Release | : 2012 |
| Genre | : |
| ISBN | : |
U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. market and, potentially, in both markets simultaneously. We develop a general methodology based on a state space model to study 24-hour price discovery in a multiple markets setting. As opposed to the standard variance ratio approach, this model deals naturally with (i) simultaneous quotes in an overlap, (ii) missing observations in a non-overlap, (iii) noise due to transitory microstructure effects, and (iv) contemporaneous correlation in returns due to market-wide factors. We apply our model to Dutch stocks, cross-listed in the U.S. Our findings suggest a minor role for the NYSE in price discovery for Dutch shares, in spite of its non-trivial and growing market share.
