Spillover Effect of Chinese Cross-Listed Companies across Shanghai, Hong Kong and US Markets

Li, Bijing; Yi, Ronghua; Su, Roger

doi:10.5539/ijef.v3n6p135

Cited by 4 publications

(2 citation statements)

References 11 publications

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“…However, Creators is facing the risk of leakage of creativity in this process. Once the secret or main technology is leaked, it means that the whole project is failed [2].…”

Section: Risk Analysis Of Crowdfunding Financingmentioning

confidence: 99%

Development and Risk Analysis of Crowdfunding in China

Xiao¹

2016

Proceedings of the 6th International Conference on Electronic, Mechanical, Information and Management Society

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As a new model of technological innovation, crowdfunding not only makes the internet finance possess the financing function, but also brings a breakthrough business model. With the deepening development of the Internet and the proposal of "Internet +" concept, crowdfunding, as a new way of financing, is also facing huge development and challenges. This paper analyzes the concept of crowdfunding and discusses its origin and current situation in our country, while analyzes the risk of the crowdfunding in our country from the perspective of procedure of crowdfunding, and make recommendations accordingly.

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“…However, Creators is facing the risk of leakage of creativity in this process. Once the secret or main technology is leaked, it means that the whole project is failed [2].…”

Section: Risk Analysis Of Crowdfunding Financingmentioning

confidence: 99%

Development and Risk Analysis of Crowdfunding in China

Xiao¹

2016

Proceedings of the 6th International Conference on Electronic, Mechanical, Information and Management Society

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“…They found that the price differential among the shares was caused by the country-specific risks related to the Chinese stock market among the three groups of investors. Li, Yi, & Su (2011) also investigated the spillover effect of the returns of cross-listed Chinese stocks that are traded simultaneously in the Shanghai, Hong Kong, and U.S. markets. They reported a strong, unidirectional spillover effect from the U.S. market to the Shanghai market.…”

Section: Literature Review On the Discount Puzzles In The Chinese Stomentioning

confidence: 99%

Market Segmentation, Price Disparity, and Transmission of Pricing Information: Evidence from Class A and H Shares of Chinese Dual-Listed Companies

Kim¹,

Kim²,

Park³

et al. 2015

JFRM

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This paper examines the transmission of pricing information and the volatility of dual-listed stocks between class A and H shares of Chinese companies.First, using firm level data, we show that there is a large price discount for H shares relative to the A shares. Second, when we divide the firms into a high price disparity group and a low price disparity group, we find that the high price disparity group's pricing information transmission is stronger than the low price disparity group during the pre-liberalization period (in terms of significant mean coefficients). Third, when we divide the entire sample period into a pre-liberalization period and a post-liberalization, we find that the mean value spillover is stronger during the post-liberalization period for the low price disparity group. Finally, we report that during the post-liberalization period, the volatility spillover increases from A shares to H shares while it decreases from H shares to A shares. This implies that there is an information advantage of H shares, disappearing with the liberalization of A shares.

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China’s Macroeconomic Fundamentals on Stock Market Volatility: Evidence from Shanghai and Hong Kong

Cheng

Yip

2017

Rev. Pac. Basin Finan. Mark. Pol.

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This paper examines the effect of Chinese macroeconomic variables, the industrial production growth rate, the producer price index, the 3-month short-term Shanghai Interbank Offer Rate and the consumer price index, on the volatility of the Shanghai and Hong Kong stock markets. We apply the generalized autoregressive conditional heteroskedastic mixed data sampling model for the study. Our empirical findings on various indexes and enterprises in the Shanghai and Hong Kong markets show that Chinese macroeconomic variables have a greater power to explain the volatility in Hong Kong than in Shanghai. They also contribute significantly to Hong Kong’s market volatility.

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Spillover Effect of Chinese Cross-Listed Companies across Shanghai, Hong Kong and US Markets

Cited by 4 publications

References 11 publications

Development and Risk Analysis of Crowdfunding in China

Development and Risk Analysis of Crowdfunding in China

Market Segmentation, Price Disparity, and Transmission of Pricing Information: Evidence from Class A and H Shares of Chinese Dual-Listed Companies

China’s Macroeconomic Fundamentals on Stock Market Volatility: Evidence from Shanghai and Hong Kong

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