Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 庄太量教授 (经济学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.pacfin.2006.07.002 |
引用次数
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/35Scopus source URL
其它资讯
摘要We study the price-discovery process for a number of Chinese cross-listed stocks. For the stocks cross-listed on the New York Stock Exchange (NYSE) and the Stock Exchange of Hong Kong (SEHK), we find that the stock prices of these two exchanges are cointegrated and mutually adjusting, and that the SEHK makes more contributions than the NYSE to the price-discovery process. The SEHK contributions are 81.6% and 89.4%, computed from Gonzalo and Granger [Gonzalo, J., Granger, C., 1995. Estimation of common long-memory components in cointegrated systems. Journal of Business and Economics Statistics 13, 27-http://aims.cuhk.edu.hk/converis/portal/Publication/35] permanent-transitory (PT) and Hasbrouck [Hasbrouck, J., 1995. One security, many markets: Determining the contributions to price discovery. Journal of Finance 50, 1175-1119] information share (IS) models respectively. ? 2006 Elsevier B.V. All rights reserved.
着者Su Q., Chong T.T.-L.
期刊名称Pacific-Basin Finance Journal
出版年份2007
月份4
日期1
卷号15
期次2
出版社Elsevier BV
出版地Netherlands
页次140 - 153
国际标準期刊号0927-538X
电子国际标準期刊号1879-0585
语言英式英语
关键词H share, Information share, Permanent-transitory model, Price discovery
