Previous literature on price limit offers mixed empirical evidence on the effectiveness of price limits.This study complements the literature by providing a quasi-natural experiment to study the performance of price l...Previous literature on price limit offers mixed empirical evidence on the effectiveness of price limits.This study complements the literature by providing a quasi-natural experiment to study the performance of price limit. We examine the effectiveness of price limit rule using cross-listed stocks in the Chinese stock markets and Hong Kong stock market. We find that the influence of price limit becomes weaker as limit-hitting stocks are traded more actively. Among stocks with high trading activity, the delay of efficient price discovery, the volatility spillover and the trading interference become statistically insignificant. This challenges the views of price limit critics. Additionally, we find that the effect of price limits on the trading is asymmetric for A-shares in the upward and downward price movements.展开更多
This paper investigates the factors affecting the conservatism of accounting reports at the market-level and firm-level. At the market-level, law and institutional factors explain conservatism, while at the firm-level...This paper investigates the factors affecting the conservatism of accounting reports at the market-level and firm-level. At the market-level, law and institutional factors explain conservatism, while at the firm-level contracting is the driver. We predict and observe that while both levels jointly affect conservatism, it is firm-level factors that play a dominant role. The conclusion suggests that it is more effective to improve the quality of accounting reports by motivating the firm's own demand rather than through listing in a developed capital market.展开更多
This paper explores determinants of price premiums between A-share and American depositary receipts(ADR)or H-share and sheds light on policies using daily data from cross-listed companies from 2002-2020.Market sentime...This paper explores determinants of price premiums between A-share and American depositary receipts(ADR)or H-share and sheds light on policies using daily data from cross-listed companies from 2002-2020.Market sentiment and financial openness are critical in explaining both types of price premiums.Expected exchange rate changes significantly impact the A-share versus ADR premium but liquidity is essential for the A-share versus H-share premium.The introduction of Shanghai-Hong Kong Stock Connect in November 2014 has effectively increased the price discovery capacity of the A-share market,and investors were more adaptive to the RMB foreign exchange rate volatility after Chinese exchange rate system reform in 2015.The paper provides insights into future capital market reform in China.展开更多
文摘Previous literature on price limit offers mixed empirical evidence on the effectiveness of price limits.This study complements the literature by providing a quasi-natural experiment to study the performance of price limit. We examine the effectiveness of price limit rule using cross-listed stocks in the Chinese stock markets and Hong Kong stock market. We find that the influence of price limit becomes weaker as limit-hitting stocks are traded more actively. Among stocks with high trading activity, the delay of efficient price discovery, the volatility spillover and the trading interference become statistically insignificant. This challenges the views of price limit critics. Additionally, we find that the effect of price limits on the trading is asymmetric for A-shares in the upward and downward price movements.
基金supported by Program for New Century Excellent Talents in University
文摘This paper investigates the factors affecting the conservatism of accounting reports at the market-level and firm-level. At the market-level, law and institutional factors explain conservatism, while at the firm-level contracting is the driver. We predict and observe that while both levels jointly affect conservatism, it is firm-level factors that play a dominant role. The conclusion suggests that it is more effective to improve the quality of accounting reports by motivating the firm's own demand rather than through listing in a developed capital market.
基金the National Natural Science Fund for Emergence Management Program(No.71850001)the National Natural Science Fund(No.71733004).
文摘This paper explores determinants of price premiums between A-share and American depositary receipts(ADR)or H-share and sheds light on policies using daily data from cross-listed companies from 2002-2020.Market sentiment and financial openness are critical in explaining both types of price premiums.Expected exchange rate changes significantly impact the A-share versus ADR premium but liquidity is essential for the A-share versus H-share premium.The introduction of Shanghai-Hong Kong Stock Connect in November 2014 has effectively increased the price discovery capacity of the A-share market,and investors were more adaptive to the RMB foreign exchange rate volatility after Chinese exchange rate system reform in 2015.The paper provides insights into future capital market reform in China.
