کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
963715 | 930404 | 2007 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Using a sample of Hong Kong-listed stocks that are also traded on the London Stock Exchange, we document the following results: first, London market makers use Hong Kong's closing prices as the benchmark for setting the opening prices in London. Second, trading in the London market plays only a limited role in price discovery in the Hong Kong market. Third, the stock returns from London trading are closely correlated with those of the Hong Kong market. The above findings are consistent with the explanation that London trading is predominantly liquidity-driven but not information-driven.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 26, Issue 1, February 2007, Pages 46-63
Journal: Journal of International Money and Finance - Volume 26, Issue 1, February 2007, Pages 46-63
نویسندگان
Sumit Agarwal, Chunlin Liu, S. Ghon Rhee,