The dynamics of price discovery for cross-listed stocks evidence from US and Chinese markets

References

• Allen, D. E., Amram, R., & McAleer, M. (2013). Volatility spillovers from the Chinese stock market to economic neighbours. Mathematics and Computers in Simulation, 94, 238–257.10.1016/j.matcom.2013.01.001
   Web of Science ®Google Scholar
• Harris, F. B., McInish, T. H., & Wood, R. A. (2002). Security price adjustment across exchanges: An investigation of common factor components for Dow stocks. Journal of Financial Markets, 5, 277–308.10.1016/S1386-4181(01)00017-9
   Web of Science ®Google Scholar
• Baillie, R. T., Booth, G. G., Tse, Y., & Zabotina, T. (2002). Price discovery and common factor models. Journal of Financial Markets, 5(3), 309–321.10.1016/S1386-4181(02)00027-7
   Web of Science ®Google Scholar
• Chen, H. Q., Han, Q., Li, Y. X., & Wu, K. (2013). Does index futures trading reduce volatility in the Chinese stock market? A panel data evaluation approach. Journal of Futures Markets, 33(12), 1167–1190.
   Web of Science ®Google Scholar
• Chen, J., Tourani-Rad, A., & Yi, R. H. (2016). Short sales and price discovery of Chinese cross-listed firms. International Journal of Managerial Finance, 12(4), 408–421.10.1108/IJMF-02-2015-0025
   Web of Science ®Google Scholar
• Chen, K. C., Li, G., & Wu, L. (2010). Price discovery for segmented us-listed Chinese stocks: Location or market quality? Journal of Business Finance & Accounting, 37, 242–269.10.1111/jbfa.2010.37.issue-1-2
   Web of Science ®Google Scholar
• Chow, G. C., Liu, C., & Niu, L. (2011). Co-movements of Shanghai and New York stock prices by time-varying regressions. Journal of Comparative Economics, 39, 577–583.10.1016/j.jce.2011.06.001
   Web of Science ®Google Scholar
• Coffee, J. C., Jr (2002). Racing towards the top? The impact of cross-listings and stock market competition on international corporate governance. Columbia Law Review, 102(7), 1757–1831.
   Web of Science ®Google Scholar
• Dickey, D., & Fuller, W. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 83–106.
   Web of Science ®Google Scholar
• Doidge, C., Karolyi, G. A., & Stulz, R. (2004). Why are foreign firms listed in the U.S. worth more? Journal of Financial Economics, 71(2), 205–238.10.1016/S0304-405X(03)00183-1
   Web of Science ®Google Scholar
• Emin, D. (2016). Effects of global incidents on dynamic correlations of emerging European countries. Eurasian Journal of Economics and Finance, 4(1), 1–23.10.15604/ejef
   Google Scholar
• Engle, R., & Granger, C. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. doi:10.2307/1913236
   Web of Science ®Google Scholar
• Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate GARCH models. Journal of Business and Economic Statistics, 20, 339–350.10.1198/073500102288618487
   Web of Science ®Google Scholar
• Engle, R. F., Ito, T., & Lin, W. -L. (1990). Meteor shower or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market, Econometrica, 58(3), 525–542.
   Google Scholar
• Eun, C. S., & Sabherwal, S. (2003). Cross-border listings and price discovery: Evidence from U.S.-listed Canadian stocks. The Journal of Finance, 58(2), 549–575.10.1111/1540-6261.00537
   Web of Science ®Google Scholar
• Ferguson, N. J. (2015). Investor Information Processing and Trading Volume. Asia-Pacific Journal of Financial Studies, 44(2), 322–351.10.1111/ajfs.2015.44.issue-2
   Web of Science ®Google Scholar
• Frijns, B., Gilbert, A., & Tourani-Rad, A. (2010). The dynamics of price discovery for cross-listed shares: Evidence from Australia and New Zealand. Journal of Banking and Finance, 34, 498–508.10.1016/j.jbankfin.2009.08.014
   Web of Science ®Google Scholar
• Gonzalo, J., & Granger, C. (1995). Estimation of common long-memory components in cointegrated systems. Journal of Business & Economic Statistics, 13, 27–36.
   Web of Science ®Google Scholar
• Guo, B., Han, Q., Liu, M., & Ryu, D. (2013). A tale of two index futures: The intraday price discovery and volatility transmission processes between the china financial futures exchange and the singapore exchange. Emerging Markets Finance and Trade, 49(s4), 197–212.10.2753/REE1540-496X4905S414
   Web of Science ®Google Scholar
• Hamao, Y., Masulis, R. W., & Ng, V. (1990). Correlations in price changes and volatility across international stock markets. Review of Financial Studies., 3(2), 281–307.10.1093/rfs/3.2.281
   Web of Science ®Google Scholar
• Hasbrouck, J. (1995). One security, many Markets: Determining the contributions to price discovery. The Journal of Finance, 50(4), 1175–1199.10.1111/j.1540-6261.1995.tb04054.x
   Web of Science ®Google Scholar
• De Jong, F. (2002). Measures of contributions to price discovery: A comparison. Journal of Financial Markets, 5, 323–327.10.1016/S1386-4181(02)00028-9
   Web of Science ®Google Scholar
• Koumkwa, S., & Susmel, R. (2005). Arbitrage and convergence: Evidence from Mexican ADRs. Journal of Applied Economics, 11(2), 399–425.
   Google Scholar
• Koutmos, G., & Booth, G. G. (1995). Asymmetric volatility transmission in international stock markets. Journal of International Money and Finance, 14, 747–762.10.1016/0261-5606(95)00031-3
   Web of Science ®Google Scholar
• Koutmos, G., & Tucker, M. (1996). Temporal relationships and dynamic interactions between spot and futures stock markets. Journal of Futures Markets, 16, 55–69.10.1002/(ISSN)1096-9934
   Web of Science ®Google Scholar
• Li, H. (2007). International linkages of the Chinese stock exchanges: A multivariate GARCH analysis. Applied Financial Economics, 17, 285–297.10.1080/09603100600675557
   Google Scholar
• Lieberman, O., Ben-Zion, U., & Hauser, S. (1999). A characterization of the price behavior of international dual stocks: An error correction approach. Journal of International Money and Finance, 18, 289–304.10.1016/S0261-5606(99)00003-0
   Web of Science ®Google Scholar
• Lin, W. L., Engle, R. F., & Ito, T. (1994). Do bulls and bears move across borders? International transmission of stock returns and volatility Review of Financial Studies, 7(3), 507–538.10.1093/rfs/7.3.507
   Web of Science ®Google Scholar
• Lin, J., Sanger, G., & Booth, G. (1995). Trade size and the components of the bid-ask spread. Review of Financial Studies, 8(3), 48–57.
   Google Scholar
• Lin, K. P., Menkveld, A. J., & Yang, Z. (2009). Chinese and world equity markets: A review of the volatilities and correlations in the first fifteen years. China Economic Review, 20, 29–45.10.1016/j.chieco.2008.11.003
   Web of Science ®Google Scholar
• Long, L., Tsui, A. K., & Zhang, Z. (2014). Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market. Economic Modelling, 37, 89–102.10.1016/j.econmod.2013.11.002
   Web of Science ®Google Scholar
• Luo, B., Sun, L., & Mweene, R. (2005). The evolvement and relevant factors of price discovery: A case study of cross-listed stocks in China. Expert Systems with Applications, 29(2), 463–471.10.1016/j.eswa.2005.04.042
   Web of Science ®Google Scholar
• Moon, G.-H., & Yu, W. C. (2010). Volatility spillovers between the US and China stock markets: Structural break test with symmetric and asymmetric GARCH approaches. Global Economic Review, 39(2), 129–149.10.1080/1226508X.2010.483834
   Web of Science ®Google Scholar
• Nelson, D. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59, 347–370.10.2307/2938260
   Web of Science ®Google Scholar
• Ng, L., & Wu, F. (2007). The trading behavior of institutions and individuals in Chinese equity markets. Journal of Banking and Finance, 31, 2695–2710.10.1016/j.jbankfin.2006.10.029
   Web of Science ®Google Scholar
• Pascual, R., Pascual-Fuster, B., & Climent, F. (2006). Cross-listing, price discovery and the informativeness of the trading process. Journal of Financial Markets, 9(2), 144–161.10.1016/j.finmar.2006.01.002
   Web of Science ®Google Scholar
• Qadan, M., & Yagil, J. (2012). Main or satellite? Testing causality-in-mean and variance for dually listed stocks. International, Journal of Finance and Economics, 17, 279–289.10.1002/ijfe.v17.3
   Web of Science ®Google Scholar
• Reese, W. A., & Weisbach, M. S. (2002). Protection of minority shareholder interests, cross-listings in the United States, and subsequent equity offerings. Journal of Financial Economics, 66, 65–104.10.1016/S0304-405X(02)00151-4
   Web of Science ®Google Scholar
• Su, Q., & Chong, T. T.-L. (2007). Determining the contributions to price discovery for Chinese cross-listed stocks. Pacific-Basin Finance Journal, 15(2), 140–153.10.1016/j.pacfin.2006.07.002
   Google Scholar
• Tse, Y. K. (1999). Price discovery and volatility spillovers in the DJIA index and futures markets. Journal of Futures Markets, 19(8), 911–930.10.1002/(ISSN)1096-9934
   Web of Science ®Google Scholar
• Tse, Y., & Booth, G. G. (1996). Common volatility and volatility spillovers between U.S. and Eurodollar interest rates: Evidence from the futures market. Journal of Economics and Business, 48, 299–312.10.1016/0148-6195(96)00016-1
   Google Scholar
• Tse, Y. K., & Tsui, A. K. C. (2002). A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations. Journal of Business & Economic Statistics, 20(3), 351–362. doi:10.1198/073500102288618496
   Web of Science ®Google Scholar
• Xie, S. Q., & Mo, T. P. (2014). Index futures trading and stock market volatility in China: A difference-in-difference approach. Journal of Futures Markets, 34(3), 282–297.10.1002/fut.21650
   Web of Science ®Google Scholar
• Yang, J., Yang, Z., & Zhou, Y. G. (2012). Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China. Journal of Futures Markets, 32(2), 99–121.10.1002/fut.v32.2
   Web of Science ®Google Scholar