685
Views
24
CrossRef citations to date
0
Altmetric
Original Articles

Capital account liberalization and dynamic price discovery: evidence from Chinese cross-listed stocks

&

References

  • Arquette, G., W. O. Brown Jr, and R. Burdekin. 2008. “US ADR and Hong Kong H-share Discounts of Shanghai-Listed Firms.” Journal of Banking & Finance 32: 1916–1927. doi:10.1016/j.jbankfin.2007.12.019.
  • Aznar, A. and M. Salvador. 2002. “Selecting the Rank of the Cointegration Space and the Form of the Intercept using an Information Criterion.” Econometric Theory 18: 926–947. doi:10.1017/S0266466602184064.
  • Cai, C. X., P. B. McGuinness, and Q. Zhang. 2011. “The Pricing Dynamics of Cross-Listed Securities: The Case of Chinese A- and H-shares.” Journal of Banking & Finance 35: 2123–2136. doi:10.1016/j.jbankfin.2011.01.010.
  • Chang, E. C., Y. Luo, and J. Ren. 2013. “Cross-Listing and Pricing Efficiency: The Informational and Anchoring Role Played by the Reference Price.” Journal of Banking & Finance 37: 4449–4464. doi:10.1016/j.jbankfin.2012.12.018.
  • Chari, A. and P. Henry. 2004. “Risk-Sharing and Asset Prices: Evidence from a Natural Experiment.” The Journal of Finance 59: 1295–1324. doi:10.1111/jofi.2004.59.issue-3.
  • Choi, O. T., H. Wong, C. K. F. Yiu, and M. Yu. 2013. “In Depth Analysis of the Dually Listed Companies in Hong Kong and China Stock Markets Prior and Posterior to the Global Financial Turmoil.” International Journal of Economics and Finance 5: 100–110. doi:10.5539/ijef.v5n10p100.
  • Chung, T.-K., C.-H. Hui, and K.-F. Li. 2013. “Explaining Share Price Disparity with Parameter Uncertainty: Evidence from Chinese A- and H-Shares.” Journal of Banking & Finance 37: 1073–1083. doi:10.1016/j.jbankfin.2012.11.004.
  • Eichengreen, B. 2001. “Capital Account Liberalization: What Do Cross-Country Studies Tell Us?” The World Bank Economic Review 15: 341–365. doi:10.1093/wber/15.3.341.
  • Engle, R. F. and C. W. J. Granger. 1987. “Co-integration and Error Correction: Representation, Estimation, and Testing.” Econometrica 55: 251–276. doi:10.2307/1913236.
  • Eun, C. S. and S. Sabherwal. 2003. “Cross-Border Listings and Price Discovery: Evidence from U.S.-Listed Canadian Stocks.” The Journal of Finance 58: 549–576. doi:10.1111/jofi.2003.58.issue-2.
  • Galindo, A., F. Schiantarelli, and A. Weiss. 2007. “Does Financial Liberalization Improve the Allocation of Investment? Micro Evidence from Developing Countries.” Journal of Development Economics 83: 562–587. doi:10.1016/j.jdeveco.2005.09.008.
  • Garbade, K. and W. Silber. 1982. “Price Movements and Price Discovery in Futures and Cash Markets.” Review of Economics and Statistics 64: 289–297.
  • Gonzalo, J. and J.-Y. Pitarakis. 1998. “Specification via Model Selection in Vector Error Correction Models.” Economics Letters 60: 321–328. doi:10.1016/S0165-1765(98)00129-3.
  • Harris, F. H., T. H. McInish, G. L. Shoesmith, and R. A. Wood. 1995. “Cointegration, Error Correction and Price Discovery on Informationally Linked Security Markets.” The Journal of Financial and Quantitative Analysis 30: 563–579. doi:10.2307/2331277.
  • Harrison, A., I. Love, and M. McMillan. 2004. “Global Capital Flows and Financing Constraints.” Journal of Development Economics 75: 269–301. doi:10.1016/j.jdeveco.2003.10.002.
  • Henry, P. 2000. “Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices.” The Journal of Finance 55: 529–564. doi:10.1111/jofi.2000.55.issue-2.
  • Henry, P. 2007. “Capital Account Liberalization: Theory, Evidence, and Speculation.” Journal of Economic Literature 45: 887–935. doi:10.1257/jel.45.4.887.
  • Johansen, S. 1988. “Statistical Analysis of Cointegration Vectors.” Journal of Economic Dynamics and Control 12: 231–254. doi:10.1016/0165-1889(88)90041-3.
  • Johansen, S. 1991. “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models.” Econometrica 59: 1551–1580. doi:10.2307/2938278.
  • Johansen, S. 1995. Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford: Oxford University Press.
  • Su, Q., T. T.-L. Chong, and I. K.-M. Yan. 2007. “On the Convergence of the Chinese and Hong Kong Stock Markets: A Cointegration Analysis of the A and H Shares.” Applied Financial Economics 17: 1349–1357. doi:10.1080/09603100600993760.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.