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Spillover and Profitability of Intraday Herding on Cross-Listed Stocks

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  • Rose Neng Lai
  • Yang Zhang

Abstract

Companies are cross-listed on multiple exchanges in different countries to take advantage of different market features. Due to the difference in time zones, it is normally quite impossible to take advantage of instantaneous information spillover from market to market to generate abnormal returns. Situations can be different if the cross-listed firms are traded in markets within the same country and in the same time zone, but with different legislative regimes and levels of sophistication. Focusing on investors’ herd behavior and using hourly data, this article finds evidence of cross market information spillover in herding formation and abnormal returns in cross-listed stocks in China’s Shanghai, Shenzhen, and Hong Kong markets. More importantly, we find that investors can make excess returns upon observing herding by buying and holding Hong Kong’s small and median stocks in industrial sectors cross-listed in the Shenzhen market especially in the morning and the end of the trading day.

Suggested Citation

  • Rose Neng Lai & Yang Zhang, 2020. "Spillover and Profitability of Intraday Herding on Cross-Listed Stocks," Chinese Economy, Taylor & Francis Journals, vol. 53(1), pages 25-61, January.
    • Handle: RePEc:mes:chinec:v:53:y:2020:i:1:p:25-61
    DOI: 10.1080/10971475.2019.1625244
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    Cited by:

    1. Daniel v{S}tifani'c & Jelena Musulin & Adrijana Miov{c}evi'c & Sandi Baressi v{S}egota & Roman v{S}ubi'c & Zlatan Car, 2020. "Impact of COVID-19 on Forecasting Stock Prices: An Integration of Stationary Wavelet Transform and Bidirectional Long Short-Term Memory," Papers 2007.02673, arXiv.org.
    2. Tao Chen, 2022. "A cross‐country study on informed herding," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4336-4349, October.
    3. Lin, Hang & Zhang, Zhengjun, 2022. "Extreme co-movements between infectious disease events and crude oil futures prices: From extreme value analysis perspective," Energy Economics, Elsevier, vol. 110(C).

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