 Trading gap in holidays and price transmission: Evidence from cross-listed stocks on the A-share and H-share marketsWei Bao, Shijun Guo, Diefeng Peng and Yulei Rao International Review of Financial Analysis, 2023, vol. 87, issue C Abstract: Chinese public holidays of differing durations celebrated in mainland China and Hong Kong provide a unique trading gap when the A-share markets are closed but the H-share market is not. In this study, we examine how these non-overlapping trading gaps caused by holidays affect price transmission between cross-listed stocks in the A-share and H-share markets. We find that the price movements of H-shares during trading gaps are positively associated with post-holiday drifts in the A-share markets. This positive association is stronger when the length of non-overlapping holidays is longer, and when firms have a weaker connection to Hong Kong market. Moreover, our evidence reveals that investor distraction rather than sentiment during holiday periods may be the reason for this positive association. Finally, our results show that a portfolio trading strategy based on our findings can be profitable, indicating the economic magnitude of our findings. Keywords: Price transmission; Trading gap; Holiday effects; Cross-listed shares (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001321 DOI: 10.1016/j.irfa.2023.102616 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.