Does Cross-Listing Really Enhance Market Efficiency for Stocks Listed in the Home Market? The Perspective of Noise Trading in the Chinese Stock Market

被引：3
|
作者：
Hu, Yingyi [1 ]
Zhao, Tiao [2 ]
机构：
[1] Southwestern Univ Finance & Econ, Inst Chinese Financial Studies, 555 Liutai Ave, Chengdu 611130, Sichuan, Peoples R China
[2] Invesco Capital Management, Houston, TX USA
来源：
EMERGING MARKETS FINANCE AND TRADE | 2018年 / 54卷 / 02期
关键词：
cross-listing; market efficiency; noise trading; order imbalance; propensity score; CORPORATE GOVERNANCE; INVESTOR RECOGNITION; CONVERGENCE; INFORMATION; RETURNS; PERFORMANCE; PROTECTION; OWNERSHIP; IMPROVE; DEALER;
D O I：
10.1080/1540496X.2017.1336085
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The investor recognition hypothesis and the bonding hypothesis, which help us understand the market quality of stocks that are cross-listed on different stock markets, imply improved market efficiency after cross-listing because of increased investor participation. However, the noise trading of inexperienced investors in the Chinese stock market negatively affects market efficiency. By employing propensity score matching and multivariate regression analysis, we show that the increased individual investor participation actually lowers market efficiency in their home market after cross-listing. This effect is more evident for stocks that were either listed first on the Chinese stock market or listed on the Chinese stock market and the Hong Kong stock exchange (SEHK) on the same date than for stocks that were listed first on the SEHK.
引用
收藏
页码：307 / 327
页数：21
相关论文
共 50 条
12345