Information Flows across Markets: Evidence from China–Backed Stocks Dual–Listed in Hong Kong and New York

Xu, Xiaoqing Eleanor; Fung, Hung‐Gay

doi:10.1111/1540-6288.00029

Cited by 66 publications

(36 citation statements)

References 35 publications

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“…This methodology made success to capture interdependencies and spillover mechanisms either in bivariate or in multivariate system. It is worth mentioning that the majority of previous studies have led to the existence of unidirectional and sometimes bidirectional spillovers between international stock markets more amplified in times of financial crises and variant depending on the degree of integration (Gilenko and Fedorova, 2014;Bekiros, 2014;Arouri et al, 2011;Li, 2007;Choudhry, 2004;Darrat and Benkato, 2003;Xu and Fung, 2002;Caporale et al, 2002;Kasch-Haroutounian and Price, 2001;Rigobon, 2001, 2002).…”

Section: Introductionmentioning

confidence: 99%

Financial market interdependencies: A quantile regression analysis of volatility spillover

Rejeb

Arfaoui

2016

Research in International Business and Finance

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This paper investigates the degree and structure of interdependence between emerging (Asian and Latin American) and developed (USA and Japan) stock markets through the study of volatility spillovers for the period spanning from January 1, 1993 to October 13, 2010. Using both standard GARCH model and quantile regression approach, we find the evidence of significant interdependence between financial markets which may give evidence of volatility transmission existence. The volatility transmission is closely associated with geographical proximity as well as with crisis periods which confirm the presence of contagion. The analysis of upper and lower quantiles allows observing that the interdependence increases during bullish markets while decreases during bearish markets. Accordingly, the structure of interdependence is asymmetric for both Asian and Latin American emerging markets. These findings open up new insights for government policy makers and for managerial purposes.

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Section: Introductionmentioning

confidence: 99%

Financial market interdependencies: A quantile regression analysis of volatility spillover

Rejeb

Arfaoui

2016

Research in International Business and Finance

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“…For instance Su and Chong (2006) find that for eight Chinese firms listed on both the Hong Kong Stock Exchange (SEHK) and the NYSE the average information share was 89.4% for the SEHK market. Xu and Fung (2002), examining the same market, also found that the majority of information transmission came from the home market (SEHK), while the foreign market (NYSE) was predominantly responsible for volatility spillover. Lieberman, Ben-Zion and Hauser (1999) observe that for a sample of 6 Israeli firms the majority of the price discovery occurs in Israel for all but 1 firm, with the NYSE contributing only a small amount.…”

Section: Literature Reviewmentioning

confidence: 88%

Price Discovery, Cross-Listings and Exchange Rates: Evidence from Australia and New Zealand

2008

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This paper examines price discovery for four Australian stocks cross-listed in New Zealand and five New Zealand stocks cross-listed in Australia for the period January 2002 to December 2005. Estimating Hasbrouck (1995) information shares over time reveals that the importance of the Australian market is growing. However, when incorporating the AUD/NZD cross-rate into the model, we find that this growing importance disappears. The reason for this is that both the Australian and the New Zealand currencies are so-called "commodity currencies" and are therefore not exogenous with respect to stock prices. We find that the shift in price discovery can be explained by a shift in the relative role of both markets in the determination of the cross-rate. Implications of this study are that when studying similar countries, the exchange rate cannot be considered as an exogenous process.

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“…The research most closely related to this study is undertaken by Xu and Fung [8], they use multivariate GARCH model and examine the information flow between the Hong Kong and New York stock market. specifically, Kutan and Zhou [9] conduct an empirical study on Chinese ADRs and report that the underlying Hong Kong market has the most significant impact on mean returns of the ADRs, their findings are consistent with those of Kim, et al [2].…”

Section: Literature Reviewmentioning

confidence: 99%

Price Discovery Study of Chinese ADRs on Global Markets

Luo¹,

Changxian²

2018

JFE

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This paper analyzes the price discovery mechanism between the Chinese American Depository Receipts (ADRs) listed on the New York Stock Exchange (NYSE) and their underlying H shares on the Hong Kong Stock Exchange (HKEX). It employs the Permanent-Transitory decomposition in vector autoregression (VAR) model, and finds that the New York stock market makes the principal contribution to the price discovery, and the proportion of contribution is 84.84%; while the Hong Kong market makes only subsidiary contribution of 15.16%. In addition, it confirms the existence of the long-term cointegration relationship between ADRs and H shares, which implies that portfolio diversification among Chinese ADRs is consistent with Global Center Hypothesis and efficient for international investors.

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Information Flows across Markets: Evidence from China–Backed Stocks Dual–Listed in Hong Kong and New York

Cited by 66 publications

References 35 publications

Financial market interdependencies: A quantile regression analysis of volatility spillover

Financial market interdependencies: A quantile regression analysis of volatility spillover

Price Discovery, Cross-Listings and Exchange Rates: Evidence from Australia and New Zealand

Price Discovery Study of Chinese ADRs on Global Markets

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