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Information Flows across Markets: Evidence from China–Backed Stocks Dual–Listed in Hong Kong and New York
Author(s) -
Xu Xiaoqing Eleanor,
Fung Hung–Gay
Publication year - 2002
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/1540-6288.00029
Subject(s) - autoregressive conditional heteroskedasticity , china , volatility (finance) , spillover effect , information transmission , financial economics , business , autoregressive model , economics , econometrics , geography , computer network , archaeology , computer science , microeconomics
Using a bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model, we examine patterns of information flows for China–backed stocks that are cross–listed on exchanges in Hong Kong and New York. Results analyzing the dual–listed stocks indicate significant mutual feedback of information between domestic (Hong Kong) and offshore (New York) markets in terms of pricing and volatility. Stocks listed on the domestic market appear to play a more significant role of information transmission in the pricing process, whereas stocks listed on the offshore market play a bigger role in volatility spillover.