TY - JOUR
T1 - Are stock price more informative after dual-listing in emerging markets? Evidence from Hong Kong-listed Chinese companies
AU - Kot, Hung Wan
AU - Tam, Lewis H.K.
N1 - Funding Information:
We thank an anonymous referee, Warren Bailey, Kalok Chan, Adrian Cheung, Haozhi Huang, Tao Huang, Andrew Karolyi, Francis Yang (HSBC), and seminar participants at Hong Kong Baptist University, Nottingham University Ningbo, the AsianFA conference at Nanchang, and the 6th Financial Markets and Corporate Governance Conference in Fremantle, Western Australia for their helpful comments and suggestions. Kot acknowledges a General Research Fund (No. 291213) from the Hong Kong government. Tam acknowledges research and conference support from the University of Macau.
PY - 2016/2/1
Y1 - 2016/2/1
N2 - We study how the information and trading environments of Hong Kong-listed Chinese companies (H-share firms) change once the companies return to the China A-share markets for listing. We examine the stock price synchronicity, liquidity commonality, and stock liquidity after dual-listing and investigate three channels related to possible changes. We find that added A-share analyst coverage influences the stock liquidity, but not the price synchronicity or liquidity commonality. Moreover, Qualified Direct Institutional Investors' trading affects price synchronicity, liquidity commonality, and stock liquidity while Qualified Foreign Institutional Investors' trading affects price synchronicity and liquidity commonality, but not stock liquidity.
AB - We study how the information and trading environments of Hong Kong-listed Chinese companies (H-share firms) change once the companies return to the China A-share markets for listing. We examine the stock price synchronicity, liquidity commonality, and stock liquidity after dual-listing and investigate three channels related to possible changes. We find that added A-share analyst coverage influences the stock liquidity, but not the price synchronicity or liquidity commonality. Moreover, Qualified Direct Institutional Investors' trading affects price synchronicity, liquidity commonality, and stock liquidity while Qualified Foreign Institutional Investors' trading affects price synchronicity and liquidity commonality, but not stock liquidity.
KW - Analyst coverage
KW - Dual listings
KW - H-shares
KW - Liquidity commonality
KW - Stock price synchronicity
UR - http://www.scopus.com/inward/record.url?scp=84949845715&partnerID=8YFLogxK
U2 - 10.1016/j.pacfin.2015.12.004
DO - 10.1016/j.pacfin.2015.12.004
M3 - Journal article
AN - SCOPUS:84949845715
SN - 0927-538X
VL - 36
SP - 31
EP - 45
JO - Pacific Basin Finance Journal
JF - Pacific Basin Finance Journal
ER -