IDEAS home Printed from https://ideas.repec.org/a/wsi/ijtafx/v03y2000i02ns0219024900000103.html
   My bibliography  Save this article

On The Rate Of Information Absorption In The Conditional Variance Of Ses Dual Listed Stocks

Author

Listed:
  • WAI MUN FONG

    (Department of Finance and Accounting, National University of Singapore, Kent Ridge Crescent, Singapore 119260, Singapore)

  • PHENG LUI CHNG

    (Department of Finance and Accounting, National University of Singapore, Kent Ridge Crescent, Singapore 119260, Singapore)

Abstract

This paper uses daily returns on dual listed stocks traded on the Stock Exchange of Singapore (SES) to test the information-based hypothesis proposed by Longin [16]. The hypothesis is that the rate of information absorption in the conditional variance is faster for foreign shares (open to foreigners and locals) than for local shares (open to locals only). We test this hypothesis using a bivariate GARCH(1,1) model for 9 dual listed stocks over the period 1991–1996. The evidence indicates that the rate of information absorption is consistent with Longin's conjecture that the rate of information absorption varies inversely with the number of informed traders. The results also support previous U.S. evidence by Conrad, Gultekin and Kaul [7]. Our study suggests that in markets with foreign ownership restrictions, removing those restrictions is likely to improve both market efficiency and liquidity.

Suggested Citation

  • Wai Mun Fong & Pheng Lui Chng, 2000. "On The Rate Of Information Absorption In The Conditional Variance Of Ses Dual Listed Stocks," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 205-217.
  • Handle: RePEc:wsi:ijtafx:v:03:y:2000:i:02:n:s0219024900000103
    DOI: 10.1142/S0219024900000103
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219024900000103
    Download Restriction: Access to full text is restricted to subscribers

    File URL: https://libkey.io/10.1142/S0219024900000103?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:03:y:2000:i:02:n:s0219024900000103. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijtaf/ijtaf.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.