TITLE:
The Transmission of Pricing Information of Dually-Listed between Hong Kong and New York Stock Exchange
AUTHORS:
Shuangfei LI, Shou CHEN
KEYWORDS:
Information Transmission, Dually-Listed, Stock Price
JOURNAL NAME:
Journal of Service Science and Management,
Vol.2 No.4,
December
15,
2009
ABSTRACT: The study investigates the transmission of pricing information between Hong Kong Stock Exchange and New York Stock Exchange. Using the opening and closing stock prices of these two markets from Jan. 2003 to Apr. 2007 with the method of Seemingly Unrelated Regression, we draw the conclusions that: 1) intraday returns of Chinese dually-listed stocks is influenced more obviously by Hang Seng Index than Dow-Jones Average; 2) transmission of pricing information is only from New York to Hong Kong; 3) intraday returns of stocks from New York Stock Exchange has a remarkable influence on that of the next day in Hongkong market, but the stocks price of Hong Kong Stock Exchange has no relation with which of New York Stock Exchange.