标 题：Price Discovery, Foreign Ownership, and Rule of Law
报告人：Jun Cai, City University of Hong Kong
主持人：经济与管理研究院 黄霖副教授
时 间：2013年5月17日（星期五）下午13:55-15:30
地 点：柳林校区颐德楼 H505
主办单位：经济与管理研究院 科研处
主讲人简介：
Education:
Ph.D., J. L. Kellogg Graduate School of Management,
Northwestern University.
M.A., The Ohio State University.
B.A., Fudan University.
Awards:
Winner of the PACAP Competitive Research Award. Research Fellow, Sandra Ann Morsilli Pacific Basin Capital Markets Research Center, 1998-1999
Winner of the Faculty of Business Competitive Research Award, 1999.
摘要: This paper aims to explore two issues. First, we examine the relation between intraday price discovery and proxies for financial openness or investor accessibility for a large cross-section of 23 emerging markets. Our sample covers 1,504 stocks over a period of eight months. We measure price discovery by weighted price contribution. We find that there is a reliable relation between early price discovery and direct foreign ownership in the underlying stocks after controlling for other factors. Greater price discovery is affiliated with a more significant presence of foreign investors in the home markets. Second, we extend the literature on law and finance to studies of market microstructure. We study the relation between the quality of legal environment to the speediness of price discovery. We find that a rule of law measure plays an important role in facilitating rapid price discovery. Our finding establishes a positive link between the quality of legal environment and efficiency of financial markets, where the latter is important for the ultimate goal of economic development.
