Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 张华教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1007/s11156-009-0118-y |
引用次数
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/9Scopus source URL
其它资讯
摘要The price discovery roles of a set of related markets or securities have been investigated in many different settings where trading costs effect is often commingled with other trading arrangement factors. In Hong Kong, regular futures and mini futures contracts as well as their underlying spot asset are all traded on a same electronic trading platform. The trading arrangements thus provide us with a unique setting where we can isolate the impacts of transaction costs on price discovery. Using Hasbrouck's (J Finance 50:1175-11http://aims.cuhk.edu.hk/converis/portal/Publication/9http://aims.cuhk.edu.hk/converis/portal/Publication/9, 1http://aims.cuhk.edu.hk/converis/portal/Publication/9http://aims.cuhk.edu.hk/converis/portal/Publication/95) information share approach, it is found that in Hong Kong, the regular futures contracts market plays a dominant role in price discovery while the mini futures and cash index markets play minor roles. The results in this paper provide an unequivocal support to the trading costs hypothesis. ? Springer Science+Business Media, LLC 200http://aims.cuhk.edu.hk/converis/portal/Publication/9.
着者Choy S.-K., Zhang H.
期刊名称Review of Quantitative Finance and Accounting
出版年份200http://aims.cuhk.edu.hk/converis/portal/Publication/9
月份1
日期1
卷号34
期次1
出版社Western Academic Publishers
出版地United States
页次37 - 57
国际标準期刊号0http://aims.cuhk.edu.hk/converis/portal/Publication/924-865X
电子国际标準期刊号1573-717http://aims.cuhk.edu.hk/converis/portal/Publication/9
语言英式英语
关键词Equity index markets, Information share, Price discovery, Trading costs
