Projects per year
Abstract
We examine intraday information flows between shares cross-listed in Hong Kong and Shanghai. The relative trading volume in Hong Kong (Shanghai) is positively related to the relative contribution to price discovery, based on Hasbrouck (1995) Information Share. Northbound trading by Hong Kong investors has a greater contribution to price discovery than southbound trading by Mainland Chinese investors. We construct a few measures of intraday market qualities: (1) probability of informed trading; (2) intraday effective spread; (3) pricing error; and (4) intraday volatility ratio. Evidence indicates that northbound trading and institutional southbound trading, but not retail southbound trading, are informed and improve pricing efficiency. © 2025 International Review of Finance Ltd.
| Original language | English |
|---|---|
| Article number | e70008 |
| Journal | International Review of Finance |
| Volume | 25 |
| Issue number | 1 |
| Online published | 19 Feb 2025 |
| DOIs | |
| Publication status | Published - Mar 2025 |
Funding
Hong Kong Research Grant Council, Grant/Award Number: 14503420; Research Impact Fund, Grant/Award Number:R4003-20
Research Keywords
- cross-listings
- informed trading
- intraday price discovery
- price efficiency
- stock-connect program
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Dive into the research topics of 'The informational role of cross-border trading: Evidence from the intraday price discovery in China'. Together they form a unique fingerprint.Projects
- 1 Finished
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RIF: Market Microstructure of Hong Kong Securities Market – Strengthening Market Quality and Price Stability
CHAN, K. (Principal Investigator / Project Coordinator), BIAN, J. (Co-Investigator), FONG, W.-M. (Co-Investigator), VALENTE, G. (Co-Investigator), YAO, C. (Co-Investigator) & ZHENG, H. (Co-Investigator)
30/06/21 → 24/06/25
Project: Research