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The Transmission of Pricing Information of Dually‐Listed Stocks

Author

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  • Kee‐Hong Bae
  • Baekin Cha
  • Yan‐Lueng Cheung

Abstract

We use the daily opening and closing prices of eighteen dually‐listed Hong Kong companies to investigate the transfer of pricing information between the Stock Exchange of Hong Kong (SEHK) and the London Stock Exchange (LSE). Evidence shows that (1) SEHK overnight returns respond significantly to change in LSE intraday returns, but the transmission process is not completed at the opening of the SEHK; (2) LSE overnight returns respond significantly to changes in SEHK intraday returns, but the transmission process is not completed at the opening of the LSE, either; (3) the impact is stronger moving from the LSE to the SEHK. This evidence indicates that information transfer runs in both directions and that most of the transmitted information continues to be processed throughout the following trading day (JEL G15).

Suggested Citation

  • Kee‐Hong Bae & Baekin Cha & Yan‐Lueng Cheung, 1999. "The Transmission of Pricing Information of Dually‐Listed Stocks," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(5‐6), pages 709-723, June.
    • Handle: RePEc:bla:jbfnac:v:26:y:1999:i:5-6:p:709-723
    DOI: 10.1111/1468-5957.00272
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    Citations

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    Cited by:

    1. Vinodh Madhavan & Partha Ray, 2019. "Price and Volatility Linkages Between Indian Stocks and Their European GDRs," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(2_suppl), pages 213-237, August.
    2. Palani‐Rajan Kadapakkam & Lalatendu Misra, 2003. "Return Linkages between Dual Listings under Arbitrage Restrictions: A Study of Indian Stocks and Their London Global Depositary Receipts," The Financial Review, Eastern Finance Association, vol. 38(4), pages 611-633, November.
    3. Ferhat D. Zengul & Nurettin Oner & James D. Byrd & Arline Savage, 2021. "Revealing Research Themes and Trends in 30 Top‐ranking Accounting Journals: A Text‐mining Approach," Abacus, Accounting Foundation, University of Sydney, vol. 57(3), pages 468-501, September.
    4. Francis In & Sangbae Kim, 2012. "An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8431, December.
    5. Eachempati, Prajwal & Srivastava, Praveen Ranjan & Panigrahi, Prabin Kumar, 2021. "Sentiment Analysis of COVID-19 Pandemic on the Stock Market," American Business Review, Pompea College of Business, University of New Haven, vol. 24(1), pages 141-165, May.

    More about this item

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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