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Information Transmission between Dual Listed Stocks with Non-Overlapping Trading Hours

Author

Listed:
  • Chih-hsiang Hsu

    (Department of Finance, Ming Chuan University, Taiwan)

  • Ming-sung Kao

    (Department of Finance and International Business, Fu Jen Catholic University, Taiwan.)

  • Wei-pen Tsai

    (Department of Finance and International Business, Fu Jen Catholic University, Taiwan)

Abstract

This paper examines the information transmission between stocks and their corresponding deposit receipts (DRs) by collecting samples with good reputations and high liquidity in both markets. Using eight years of daily panel data from six cross-listed Taiwanese firms, our results show the feedback causality between the domestic and U.S. markets and illustrates bi-directional information transmission across markets. This is opposite to previous Taiwanese cases, which did not control for the impact of reputation and liquidity. In other words, reputation and liquidity are important factors that direct the information flow for Taiwanese cross-listed stocks.

Suggested Citation

  • Chih-hsiang Hsu & Ming-sung Kao & Wei-pen Tsai, 2014. "Information Transmission between Dual Listed Stocks with Non-Overlapping Trading Hours," Economics Bulletin, AccessEcon, vol. 34(3), pages 1733-1741.
    • Handle: RePEc:ebl:ecbull:eb-14-00156
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    cross-listing; deposit receipts; information transmission;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • G1 - Financial Economics - - General Financial Markets

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