Price Discovery for Segmented US‐Listed Chinese Stocks: Location or Market Quality?
Guangzhong Li and
Journal of Business Finance & Accounting, 2010, vol. 37, issue 1‐2, 242-269
Abstract: This study extends the cross‐listing literature by examining how, and to what extent, the trading of cross‐listed China‐backed ADRs on the New York Stock Exchange contributes to information flows and price discovery for the corresponding stocks traded in China's A‐share market. We find that the cross‐listed US prices and Chinese prices are not cointegrated in the long‐run and the home market plays a far more important role in both price discovery and volatility spillover than does the US market. The home bias hypothesis still holds for the segmented Chinese A‐share market and the location where price discovery actually originates is the essential factor in the process of international information transmission.
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:jbfnac:v:37:y:2010:i:1-2:p:242-269
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0306-686X
Access Statistics for this article
Journal of Business Finance & Accounting is currently edited by P. F. Pope, A. W. Stark and M. Walker
More articles in Journal of Business Finance & Accounting from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().