跨境交易的信息作用：来自中国盘中价格发现的证据

IF 2.6 4区经济学 Q2 BUSINESS, FINANCE

International Review of Finance Pub Date : 2025-02-19 DOI:10.1111/irfi.70008

Kalok Chan, Yuan Lu

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引用次数: 0

摘要

我们研究了在香港和上海交叉上市的股票之间的日内信息流。根据Hasbrouck（1995）的信息共享，香港（上海）的相对交易量与价格发现的相对贡献正相关。香港投资者的北上交易对价格发现的贡献大于内地投资者的南下交易。我们构建了一些日内市场质量的度量方法：(1)知情交易的概率；(2)日内有效价差；(3)定价错误；(4)日内波动率。有证据表明，北向交易和机构南向交易，而不是散户南向交易，是知情的，并提高了定价效率。

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The informational role of cross-border trading: Evidence from the intraday price discovery in China

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.

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来源期刊

International Review of Finance BUSINESS, FINANCE-

CiteScore

3.30

自引率

5.90%

发文量

期刊介绍： The International Review of Finance (IRF) publishes high-quality research on all aspects of financial economics, including traditional areas such as asset pricing, corporate finance, market microstructure, financial intermediation and regulation, financial econometrics, financial engineering and risk management, as well as new areas such as markets and institutions of emerging market economies, especially those in the Asia-Pacific region. In addition, the Letters Section in IRF is a premium outlet of letter-length research in all fields of finance. The length of the articles in the Letters Section is limited to a maximum of eight journal pages.