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The informativeness of domestic and foreign investors' stock trades: Evidence from the perfectly segmented Chinese market

  • Chan, Kalok
  • Menkveld, Albert J.
  • Yang, Zhishu

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File URL: http://www.sciencedirect.com/science/article/B6VHN-4P61NDJ-1/2/5ee4de62a91700fcd2956564bb62b3ff
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Article provided by Elsevier in its journal Journal of Financial Markets.

Volume (Year): 10 (2007)
Issue (Month): 4 (November)
Pages: 391-415

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Handle: RePEc:eee:finmar:v:10:y:2007:i:4:p:391-415
Contact details of provider: Web page: http://www.elsevier.com/locate/finmar

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  1. Stephan, Jens A & Whaley, Robert E, 1990. " Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets," Journal of Finance, American Finance Association, vol. 45(1), pages 191-220, March.
  2. Ananth Madhavan & Matthew Richardson & Mark Roomans, 1996. "Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-34, New York University, Leonard N. Stern School of Business-.
  3. Harald Hau, 2001. "Location Matters: An Examination of Trading Profits," Journal of Finance, American Finance Association, vol. 56(5), pages 1959-1983, October.
  4. David Easley & Maureen O'Hara & P.S. Srinivas, 1998. "Option Volume and Stock Prices: Evidence on Where Informed Traders Trade," Journal of Finance, American Finance Association, vol. 53(2), pages 431-465, 04.
  5. Sugato Chakravarty & Asani Sarkar & Lifan Wu, 1998. "Information asymmetry, market segmentation, and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares," Research Paper 9820, Federal Reserve Bank of New York.
  6. Tomas Dvorak, 2001. "Do Domestic Investors Have an Information Advantage? Evidence from Indonesia," Center for Development Economics 168, Department of Economics, Williams College.
  7. Tomás Dvorák, 2005. "Do Domestic Investors Have an Information Advantage? Evidence from Indonesia," Journal of Finance, American Finance Association, vol. 60(2), pages 817-839, 04.
  8. Stoll, Hans R. & Whaley, Robert E., 1990. "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(04), pages 441-468, December.
  9. Grinblatt, Mark & Keloharju, Matti, 2000. "The investment behavior and performance of various investor types: a study of Finland's unique data set," Journal of Financial Economics, Elsevier, vol. 55(1), pages 43-67, January.
  10. Kenneth A. Froot & Tarun Ramadorai, 2001. "The Information Content of International Portfolio Flows," NBER Working Papers 8472, National Bureau of Economic Research, Inc.
  11. Hasbrouck, Joel, 1995. " One Security, Many Markets: Determining the Contributions to Price Discovery," Journal of Finance, American Finance Association, vol. 50(4), pages 1175-99, September.
  12. Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
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