DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Kyung-Won | ko |
dc.contributor.author | Kim, Yong-Hyeon | ko |
dc.contributor.author | Park, Chul-W | ko |
dc.contributor.author | Min, Hong-Ghi | ko |
dc.date.accessioned | 2016-04-20T06:56:45Z | - |
dc.date.available | 2016-04-20T06:56:45Z | - |
dc.date.created | 2016-01-04 | - |
dc.date.created | 2016-01-04 | - |
dc.date.issued | 2015-09 | - |
dc.identifier.citation | Journal of Financial Risk Management, v.4, no.3, pp.124 - 142 | - |
dc.identifier.issn | 2167-9533 | - |
dc.identifier.uri | http://hdl.handle.net/10203/205591 | - |
dc.description.abstract | This paper examines the transmission of pricing information and the volatility of dual-listed stocks between class A and H shares of Chinese companies. First, using firm level data, we show that there is a large price discount for H shares relative to the A shares. Second, when we divide the firms into a high price disparity group and a low price disparity group, we find that the high price disparity group’s pricing information transmission is stronger than the low price disparity group during the pre-liberalization period (in terms of significant mean coefficients). Third, when we divide the entire sample period into a pre-liberalization period and a post-liberalization, we find that the mean value spillover is stronger during the post-liberalization period for the low price disparity group. Finally, we report that during the post-liberalization period, the volatility spillover increases from A shares to H shares while it decreases from H shares to A shares. This implies that there is an information advantage of H shares, disappearing with the liberalization of A shares | - |
dc.language | English | - |
dc.publisher | Scientific Research Publishing Inc | - |
dc.title | Market Segmentation, Price Disparity, and Transmission of Pricing Information: Evidence from Class A and H shares of Chinese Dual-Listed Companies | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.citation.volume | 4 | - |
dc.citation.issue | 3 | - |
dc.citation.beginningpage | 124 | - |
dc.citation.endingpage | 142 | - |
dc.citation.publicationname | Journal of Financial Risk Management | - |
dc.identifier.doi | 10.4236/jfrm.2015.43011 | - |
dc.contributor.localauthor | Min, Hong-Ghi | - |
dc.contributor.nonIdAuthor | Kim, Kyung-Won | - |
dc.contributor.nonIdAuthor | Kim, Yong-Hyeon | - |
dc.contributor.nonIdAuthor | Park, Chul-W | - |
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