Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 麦建理教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1080/1351847X.2015.1105272 |
引用次数
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/0Scopus source URL
其它资讯
摘要This paper studies the effect of capital account liberalization policies on the price discovery of cross-listings in Chinese stocks. We construct a non-linear causality framework that decomposes short- and long-run dimensions of price leadership. Our analysis shows that capital account liberalization has had a profound effect on long-run A- and H-price leadership traits. Specifically, increased inward capital movement from Qualified Foreign Institutional Investors strengthens long-term leadership in the mainland A-market. Similarly, increased capital outflow from the Chinese mainland galvanizes long-term price discovery processes in the Hong Kong H-market. We thus offer strong evidence that capital account liberalization promotes stock market efficiency in the long-run. The present study's empirical account also suggests that such capital flows inhibit short-term lead-lag effects.
着者Cai C.X., McGuinness P.B., Zhang Q.
期刊名称European Journal of Finance
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/015
月份11
日期4
出版社Chapman & Hall
出版地United Kingdom
国际标準期刊号1351-847X
语言英式英语
关键词A- and H-share cross-listings, capital account liberalization, short- and long-run price leadership
