Domestic versus foreign equity shares: Which are more costly to trade in the Chinese market?

Yan He; Junbo Wang; Chunchi Wu

doi:10.1016/j.iref.2013.01.002

Author(s)

Yan He
Junbo Wang
Chunchi Wu

Related Research Unit(s)

City University of Hong Kong

Detail(s)

Original language	English
Pages (from-to)	465-481
Journal / Publication	International Review of Economics and Finance
Volume	27
Publication status	Published - Jun 2013

Link(s)

DOI	DOI https://doi.org/10.1016/j.iref.2013.01.002 Final Published version
	Check@CityULib
Link to Scopus	https://www.scopus.com/record/display.uri?eid=2-s2.0-84876324307&origin=recordpage
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(a8f098a2-e622-4e98-8176-f668471edb2f).html

Abstract

This paper investigates the transaction costs of the domestic and foreign shares in the Chinese market after the 2001 reform. We find that the higher transaction costs of foreign shares (vs. domestic shares) on the Shanghai Stock Exchange are attributable to their less active trading activities, higher volatility of trade-by-trade price returns, higher probability of information-based trading, and bigger relative tick for quoted prices. In contrast, the lower transaction costs of foreign shares (vs. domestic shares) on the Shenzhen Stock Exchange are mainly due to their lower degree of discreteness for quoted prices. © 2013 Elsevier Inc.