DO FIRM CHARACTERISTICS AFFECT PRICE DISCOVERY? EVIDENCE FROM CHINESE CROSS-LISTED STOCKS
This study examines the price movement relationship for Chinese firms that cross-list their shares on the Hong Kong Stock Exchange and the Shanghai Stock Exchange or Shenzhen Stock Exchange in mainland China. We estimate the coefficients of adjustment speed between the two markets by conducting a u...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Faculty of Economics, University of Tuzla
2021-11-01
|
| Series: | Economic Review |
| Subjects: | |
| Online Access: | https://www.er.ef.untz.ba/index.php/er/article/view/50 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1823859529459171328 |
|---|---|
| author | Yen-Sheng Lee Yi-Heng Tseng |
| author_facet | Yen-Sheng Lee Yi-Heng Tseng |
| author_sort | Yen-Sheng Lee |
| collection | DOAJ |
| description |
This study examines the price movement relationship for Chinese firms that cross-list their shares on the Hong Kong Stock Exchange and the Shanghai Stock Exchange or Shenzhen Stock Exchange in mainland China. We estimate the coefficients of adjustment speed between the two markets by conducting a unit root test and apply a vector error correction model for the price series of our 55 sample firms. The majority of the adjustment speeds of the sample firms are statistically significant, implying that the stock prices of companies cross-listed in both markets respond to each other. Our results are in line with the literature on price discovery that the Hong Kong and mainland China financial markets are informationally linked. We regress the coefficients of adjustment speed on a spectrum of firm-specific variables. The cross-sectional regression results indicate that the effective spread that proxies for the liquidity factor partially accounts for the speed of price adjustment. Our study adds to the existing literature on the price discovery process within Chinese stock markets.
|
| format | Article |
| id | doaj-art-371a2258e5234fb6b049be2cfa67ad49 |
| institution | Kabale University |
| issn | 1512-8962 2303-680X |
| language | English |
| publishDate | 2021-11-01 |
| publisher | Faculty of Economics, University of Tuzla |
| record_format | Article |
| series | Economic Review |
| spelling | doaj-art-371a2258e5234fb6b049be2cfa67ad492025-02-11T00:32:54ZengFaculty of Economics, University of TuzlaEconomic Review1512-89622303-680X2021-11-01192DO FIRM CHARACTERISTICS AFFECT PRICE DISCOVERY? EVIDENCE FROM CHINESE CROSS-LISTED STOCKS Yen-Sheng Lee0Yi-Heng Tseng1Davis School of Business, Colorado Mesa University, United StatesCollege of Management, Yuan Ze University, Taiwan, This study examines the price movement relationship for Chinese firms that cross-list their shares on the Hong Kong Stock Exchange and the Shanghai Stock Exchange or Shenzhen Stock Exchange in mainland China. We estimate the coefficients of adjustment speed between the two markets by conducting a unit root test and apply a vector error correction model for the price series of our 55 sample firms. The majority of the adjustment speeds of the sample firms are statistically significant, implying that the stock prices of companies cross-listed in both markets respond to each other. Our results are in line with the literature on price discovery that the Hong Kong and mainland China financial markets are informationally linked. We regress the coefficients of adjustment speed on a spectrum of firm-specific variables. The cross-sectional regression results indicate that the effective spread that proxies for the liquidity factor partially accounts for the speed of price adjustment. Our study adds to the existing literature on the price discovery process within Chinese stock markets. https://www.er.ef.untz.ba/index.php/er/article/view/50cross-listed stocksprice discoveryvector error correction model |
| spellingShingle | Yen-Sheng Lee Yi-Heng Tseng DO FIRM CHARACTERISTICS AFFECT PRICE DISCOVERY? EVIDENCE FROM CHINESE CROSS-LISTED STOCKS Economic Review cross-listed stocks price discovery vector error correction model |
| title | DO FIRM CHARACTERISTICS AFFECT PRICE DISCOVERY? EVIDENCE FROM CHINESE CROSS-LISTED STOCKS |
| title_full | DO FIRM CHARACTERISTICS AFFECT PRICE DISCOVERY? EVIDENCE FROM CHINESE CROSS-LISTED STOCKS |
| title_fullStr | DO FIRM CHARACTERISTICS AFFECT PRICE DISCOVERY? EVIDENCE FROM CHINESE CROSS-LISTED STOCKS |
| title_full_unstemmed | DO FIRM CHARACTERISTICS AFFECT PRICE DISCOVERY? EVIDENCE FROM CHINESE CROSS-LISTED STOCKS |
| title_short | DO FIRM CHARACTERISTICS AFFECT PRICE DISCOVERY? EVIDENCE FROM CHINESE CROSS-LISTED STOCKS |
| title_sort | do firm characteristics affect price discovery evidence from chinese cross listed stocks |
| topic | cross-listed stocks price discovery vector error correction model |
| url | https://www.er.ef.untz.ba/index.php/er/article/view/50 |
| work_keys_str_mv | AT yenshenglee dofirmcharacteristicsaffectpricediscoveryevidencefromchinesecrosslistedstocks AT yihengtseng dofirmcharacteristicsaffectpricediscoveryevidencefromchinesecrosslistedstocks |