التفاصيل البيبلوغرافية
| العنوان: |
Trading gap in holidays and price transmission: Evidence from cross-listed stocks on the A-share and H-share markets. |
| المؤلفون: |
Bao, Wei1 (AUTHOR), Guo, Shijun1,2 (AUTHOR) guoshijun@cqu.edu.cn, Peng, Diefeng3 (AUTHOR), Rao, Yulei3 (AUTHOR) |
| المصدر: |
International Review of Financial Analysis. May2023, Vol. 87, pN.PAG-N.PAG. 1p. |
| مصطلحات موضوعية: |
Balance of trade, Prices, Market sentiment, Stocks (Finance), Investors |
| مصطلحات جغرافية: |
Hong Kong (China), China |
| مستخلص: |
Chinese public holidays of differing durations celebrated in mainland China and Hong Kong provide a unique trading gap when the A-share markets are closed but the H-share market is not. In this study, we examine how these non-overlapping trading gaps caused by holidays affect price transmission between cross-listed stocks in the A-share and H-share markets. We find that the price movements of H-shares during trading gaps are positively associated with post-holiday drifts in the A-share markets. This positive association is stronger when the length of non-overlapping holidays is longer, and when firms have a weaker connection to Hong Kong market. Moreover, our evidence reveals that investor distraction rather than sentiment during holiday periods may be the reason for this positive association. Finally, our results show that a portfolio trading strategy based on our findings can be profitable, indicating the economic magnitude of our findings. • Chinese public holidays create non-overlapping trading gaps between stock markets in mainland China and Hong Kong. • We examine the effect of the trading gaps on price transmissions between cross-listed stocks in the two areas. • We find a delayed price transmission during the trading gap. • Our findings could be attributed to investors' distraction, rather than investors' sentiment. • A portfolio trading strategy in our setting can be profitable. [ABSTRACT FROM AUTHOR] |
| قاعدة البيانات: |
Finance Source |
