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	The informativeness of domestic and foreign investors' stock trades: Evidence from the perfectly segmented Chinese market
	Chan, Kalok ; Menkveld, Albert J. ; Yang, Zhishu
	2010-05-11 ; 2010-05-11
关键词	market microstructure informational role segmented market domestic vs. foreign investors Chinese stock markets PRICES SECURITY VOLUME INDEX Business, Finance
中文摘要	This paper uses the perfect market segmentation setting in China's stock market to compare the information content of the stock trades of domestic and foreign investors. We study 76 firms that issue both A-shares (for domestic investors) and B-shares (for foreign investors) and compare the price discovery role of the two segmented markets in China. Before Feb 19, 2001, the A-share market led the B-share market in price discovery, as the signed volume and quote revision of the A-share market had strong predictive ability for B-share quote returns, but not vice versa. After Feb 19, 2001, because some domestic investors were allowed to invest in the B-share market, we find evidence for a reverse causality from the B-share to the A-share market. Nevertheless, the [Hasbrouck (1995). One security, many markets: determining the contributions to price discovery, Journal of Finance 50, 1175-1199.] information share analysis reveals that A-shares continue to dominate the price discovery process. (C) 2007 Elsevier B.V. All rights reserved.
语种	英语 ; 英语
出版者	ELSEVIER SCIENCE BV ; AMSTERDAM ; PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS
内容类型	期刊论文
源URL	[http://hdl.handle.net/123456789/26203]
专题	清华大学
推荐引用方式 GB/T 7714	Chan, Kalok,Menkveld, Albert J.,Yang, Zhishu. The informativeness of domestic and foreign investors' stock trades: Evidence from the perfectly segmented Chinese market[J],2010, 2010.
APA	Chan, Kalok,Menkveld, Albert J.,&Yang, Zhishu.(2010).The informativeness of domestic and foreign investors' stock trades: Evidence from the perfectly segmented Chinese market..
MLA	Chan, Kalok,et al."The informativeness of domestic and foreign investors' stock trades: Evidence from the perfectly segmented Chinese market".(2010).

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