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Red chips or H shares: which China-backed securities process information the fastest?

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  • Poon, Winnie P. H.
  • Fung, Hung-Gay
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multinational Financial Management.

    Volume (Year): 10 (2000)
    Issue (Month): 3-4 (December)
    Pages: 315-343

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    Handle: RePEc:eee:mulfin:v:10:y:2000:i:3-4:p:315-343

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    Web page: http://www.elsevier.com/locate/mulfin

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    1. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    2. Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990. "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 58(3), pages 525-42, May.
    3. Bailey, Warren, 1994. "Risk and return on China's new stock markets: Some preliminary evidence," Pacific-Basin Finance Journal, Elsevier, vol. 2(2-3), pages 243-260, May.
    4. Whitelaw, Robert F, 1994. " Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns," Journal of Finance, American Finance Association, vol. 49(2), pages 515-41, June.
    5. Poon, Ser-Huang & Taylor, Stephen J., 1992. "Stock returns and volatility: An empirical study of the UK stock market," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 37-59, February.
    6. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
    7. Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-47, February.
    8. Tse, Yiuman & Booth, G. Geoffrey, 1996. "Common volatility and volatility spillovers between U.S. and Eurodollar interest rates: Evidence from the futures market," Journal of Economics and Business, Elsevier, vol. 48(3), pages 299-312, August.
    9. Belton Fleisher & Dongwei Su, 1996. "Risk, Return and Regulation in Chinese Stock Markets," Working Papers 005, Ohio State University, Department of Economics.
    10. Christofi, A. & Pericli, A., 1999. "Correlation in price changes and volatility of major Latin American stock markets," Journal of Multinational Financial Management, Elsevier, vol. 9(1), pages 79-93, January.
    11. Booth, G. Geoffrey & Martikainen, Teppo & Tse, Yiuman, 1997. "Price and volatility spillovers in Scandinavian stock markets," Journal of Banking & Finance, Elsevier, vol. 21(6), pages 811-823, June.
    12. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    13. Haiyan Song & Xiaming Liu & Peter Romilly, 1998. "Stock Returns and Volatility: an empirical study of Chinese stock markets," International Review of Applied Economics, Taylor & Francis Journals, vol. 12(1), pages 129-139.
    14. K.C. Chan & G. Andrew Karolyi & Rene M. Stulz, 1992. "Global Financial Markets and the Risk Premium on U.S. Equity," NBER Working Papers 4074, National Bureau of Economic Research, Inc.
    15. Poon, Winnie P. H. & Firth, Michael & Fung, Hung-Gay, 1998. "Asset pricing in segmented capital markets: Preliminary evidence from China-domiciled companies," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 307-319, August.
    16. Cheung, Yin-Wong & Ng, Lilian K, 1992. " Stock Price Dynamics and Firm Size: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 47(5), pages 1985-97, December.
    17. Theodossiou, Panayiotis, 1994. "The Stochastic Properties of Major Canadian Exchange Rates," The Financial Review, Eastern Finance Association, vol. 29(2), pages 193-221, May.
    18. Kam, C. Chan & H., K. Wu, 1995. "Another look on bond market seasonality: a note," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1047-1054, September.
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    Cited by:
    1. Chen, Jing & Buckland, Roger & Williams, Julian, 2011. "Regulatory changes, market integration and spillover effects in the Chinese A, B and Hong Kong equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 19(4), pages 351-373, September.
    2. S Zhang & I Paya & D Peel, 2009. "Linkages between Shanghai and Hong Kong stock indices," Working Papers 599248, Lancaster University Management School, Economics Department.
    3. Kutan, Ali M. & Zhou, Haigang, 2006. "Determinants of returns and volatility of Chinese ADRs at NYSE," Journal of Multinational Financial Management, Elsevier, vol. 16(1), pages 1-15, February.
    4. Appiah-Kusi, Joe & Menyah, Kojo, 2003. "Return predictability in African stock markets," Review of Financial Economics, Elsevier, vol. 12(3), pages 247-270.
    5. Wang, Zijun & Kutan, Ali M. & Yang, Jian, 2005. "Information flows within and across sectors in Chinese stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 767-780, September.
    6. Li, Yuming & Yan, Daying & Greco, Joe, 2006. "Market segmentation and price differentials between A shares and H shares in the Chinese stock markets," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 232-248, July.
    7. Demirer, RIza & Kutan, Ali M., 2006. "Does herding behavior exist in Chinese stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 123-142, April.
    8. Chan, Kam C. & Fung, Hung-Gay & Thapa, Samanta, 2007. "China financial research: A review and synthesis," International Review of Economics & Finance, Elsevier, vol. 16(3), pages 416-428.

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