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The informativeness of domestic and foreign investors' stock trades: Evidence from the perfectly segmented Chinese market

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Cited by:

  1. Lin Liao & Yukun Pan & Daifei (Troy) Yao, 2023. "Capital market liberalisation and voluntary corporate social responsibility disclosure: Evidence from a quasi‐natural experiment in China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(2), pages 2677-2715, June.
  2. Xunan Feng & Anders C. Johansson, 2017. "CEO Incentives in Chinese State-Controlled Firms," Economic Development and Cultural Change, University of Chicago Press, vol. 65(2), pages 223-264.
  3. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2010. "Private information, stock markets, and exchange rates," BIS Papers chapters, in: Bank for International Settlements (ed.), The international financial crisis and policy challenges in Asia and the Pacific, volume 52, pages 186-210, Bank for International Settlements.
  4. Feng, Xunan & Johansson, Anders C., 2014. "Escaping political extraction: Political participation, institutions, and cash holdings in China," China Economic Review, Elsevier, vol. 30(C), pages 98-112.
  5. Chien, Cheng-Yi & Lee, Hsiu-Chuan & Tai, Shih-Wen & Liao, Tzu-Hsiang, 2013. "Information, hedging demand, and institutional investors: Evidence from the Taiwan Futures Exchange," Journal of Multinational Financial Management, Elsevier, vol. 23(5), pages 394-414.
  6. Hankil Kang & Jangkoo Kang & Soonhee Lee, 2016. "Which Traders Contribute Most to Price Discovery? Evidence from the KOSPI 200 Options Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(10), pages 2335-2347, October.
  7. Wong, Woon K. & Tan, Dijun & Tian, Yixiang, 2009. "Informed trading and liquidity in the Shanghai Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 66-73, March.
  8. Weber, Enzo & Zhang, Yanqun, 2012. "Common influences, spillover and integration in Chinese stock markets," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 382-394.
  9. Gyntelberg, Jacob & Loretan, Mico & Subhanij, Tientip, 2018. "Private information, capital flows, and exchange rates," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 40-55.
  10. He, Yinghua & Nielsson, Ulf & Guo, Hong & Yang, Jiong, 2014. "Subscribing to transparency," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 189-206.
  11. Li, Shan & Brockman, Paul & Zurbruegg, Ralf, 2015. "Cross-listing, firm-specific information, and corporate governance: Evidence from Chinese A-shares and H-shares," Journal of Corporate Finance, Elsevier, vol. 32(C), pages 347-362.
  12. Gau, Yin-Feng & Hua, Mingshu & Wu, Wen-Lin, 2010. "International asset allocation for incompletely-informed investors," Journal of Financial Markets, Elsevier, vol. 13(4), pages 422-447, November.
  13. repec:hum:wpaper:sfb649dp2008-072 is not listed on IDEAS
  14. Yang, Heejin & Kutan, Ali M. & Ryu, Doojin, 2019. "Volatility information trading in the index options market: An intraday analysis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 412-426.
  15. Doukas, John A. & Wang, Liu, 2013. "Information asymmetry, price discovery, and the Chinese B-share discount puzzle," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1116-1135.
  16. Andy C W Chui & Avanidhar Subrahmanyam & Sheridan Titman, 2022. "Momentum, Reversals, and Investor Clientele [Illiquidity and stock returns: Cross-section and time-series effects]," Review of Finance, European Finance Association, vol. 26(2), pages 217-255.
  17. Tri Minh Nguyen, 2017. "The Impact of Foreign Investor Trading Activity on Vietnamese Stock Market," International Journal of Marketing Studies, Canadian Center of Science and Education, vol. 9(1), pages 109-118, February.
  18. Chen, Jing & Buckland, Roger & Williams, Julian, 2011. "Regulatory changes, market integration and spillover effects in the Chinese A, B and Hong Kong equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 19(4), pages 351-373, September.
  19. Bian, Jiangze & Chan, Kalok & Han, Bing & Shi, Donghui, 2023. "Cross-border equity flows and information transmission: Evidence from Chinese stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
  20. Anders C. Johansson & Xunan Feng, 2016. "The state advances, the private sector retreats? Firm effects of China’s great stimulus programme," Cambridge Journal of Economics, Cambridge Political Economy Society, vol. 40(6), pages 1635-1668.
  21. Feng, Xunan & Johansson, Anders C., 2018. "Living through the Great Chinese Famine: Early-life experiences and managerial decisions," Journal of Corporate Finance, Elsevier, vol. 48(C), pages 638-657.
  22. He, Yan & Wang, Junbo & Wu, Chunchi, 2013. "Domestic versus foreign equity shares: Which are more costly to trade in the Chinese market?," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 465-481.
  23. Feng, Xunan & Hu, Na & Johansson, Anders C., 2016. "Ownership, analyst coverage, and stock synchronicity in China," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 79-96.
  24. Omay, Tolga & Iren, Perihan, 2019. "Behavior of foreign investors in the Malaysian stock market in times of crisis: A nonlinear approach," Journal of Asian Economics, Elsevier, vol. 60(C), pages 85-100.
  25. William T. Lin & Shih-Chuan Tsai & David S. Sun, 2012. "Search Costs and Investor Trading Activity: Evidence from Limit Order Books," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(3), pages 4-30, May.
  26. Swee-Sim Foong & Kian-Ping Lim, 2016. "Stock Market Liberalisation and Cost of Equity: Firm-Level Evidence from Malaysia," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 12(Suppl. 1), pages 1-19–42.
  27. Chen, Li-Wen & Johnson, Shane A. & Lin, Ji-Chai & Liu, Yu-Jane, 2009. "Information, sophistication, and foreign versus domestic investors' performance," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1636-1651, September.
  28. Jain, Pawan & Jiang, Christine, 2014. "Predicting future price volatility: Empirical evidence from an emerging limit order market," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 72-93.
  29. Anders Johansson, 2010. "China's financial market integration with the world," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 8(3), pages 293-314.
  30. K.C. Chen & Guangzhong Li & Lifan Wu, 2010. "Price Discovery for Segmented US‐Listed Chinese Stocks: Location or Market Quality?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(1‐2), pages 242-269, January.
  31. Chiu, Junmao & Chen, Chin-Ho, 2023. "Limit order revisions across investor sophistication," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 74-90.
  32. Ai-Chi Hsu & Show-Yen Lai & Lien-Hui Chao, 2014. "Information Transmission Effects between A and H Dual Listing Shares," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 8(5), pages 27-40.
  33. M. Fatih Oztek & Nadir Ocal, 2012. "Integration of China Stock Markets with International Stock Markets: An application of Smooth Transition Conditional Correlation with Double Transition Functions," ERC Working Papers 1209, ERC - Economic Research Center, Middle East Technical University, revised Dec 2012.
  34. Yang, Heejin & Ahn, Hee-Joon & Kim, Maria H. & Ryu, Doojin, 2017. "Information asymmetry and investor trading behavior around bond rating change announcements," Emerging Markets Review, Elsevier, vol. 32(C), pages 38-51.
  35. Andreou, Christoforos K. & Lambertides, Neophytos & Savvides, Andreas, 2020. "Sovereign credit risk and global equity fund returns in emerging markets," Journal of International Money and Finance, Elsevier, vol. 107(C).
  36. Eric Girardin & Dijun Tan & Woon K. Wong, 2010. "Information Content of Order Flow and Cross-market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets," Working Papers 022010, Hong Kong Institute for Monetary Research.
  37. Zhian Chen & Hai Jiang & Donghui Li & Ah Boon Sim, 2010. "Regulation Change and Volatility Spillovers: Evidence from China's Stock Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 46(6), pages 140-157, November.
  38. Corbet, Shaen & Hou, Yang & Hu, Yang & Oxley, Les, 2020. "The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry," International Review of Financial Analysis, Elsevier, vol. 72(C).
  39. Bae, Kee-Hong & Ozoguz, Arzu & Tan, Hongping & Wirjanto, Tony S., 2012. "Do foreigners facilitate information transmission in emerging markets?," Journal of Financial Economics, Elsevier, vol. 105(1), pages 209-227.
  40. Feng, Xunan & Zhou, Mingshan & Chan, Kam C., 2014. "Smart money or dumb money? A study on the selection ability of mutual fund investors in China," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 154-170.
  41. Arjoon, Vaalmikki & Bougheas, Spiros & Milner, Chris, 2016. "Lead-lag relationships in an embryonic stock market: Exploring the role of institutional ownership and liquidity," Research in International Business and Finance, Elsevier, vol. 38(C), pages 262-276.
  42. Oi-Ping Chong & A.N. Bany-Ariffin & Annuar Md Nassir & Junaina Muhammad, 2019. "An Empirical Study of Herding Behaviour in China’s A-Share and B-Share Markets: Evidence of Bidirectional Herding Activities," Capital Markets Review, Malaysian Finance Association, vol. 27(2), pages 37-57.
  43. K.C. Chen & Guangzhong Li & Lifan Wu, 2010. "Price Discovery for Segmented US-Listed Chinese Stocks: Location or Market Quality?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(1-2), pages 242-269.
  44. Bai, Ye & Chow, Darien Yan Pang, 2017. "Shanghai-Hong Kong Stock Connect: An analysis of Chinese partial stock market liberalization impact on the local and foreign markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 182-203.
  45. Fong, Wai Mun, 2009. "Speculative trading and stock returns: A stochastic dominance analysis of the Chinese A-share market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 712-727, October.
  46. Albert Tsang, 2012. "Discussion: the impact of market segmentation on the value-relevance of accounting information: evidence from China," Asia-Pacific Journal of Accounting & Economics, Taylor & Francis Journals, vol. 19(1), pages 97-99.
  47. Yang, Sharon S. & Huang, Jr-Wei & Li, Wei-Hsien, 2024. "Institutional investor stewardship and material sustainability information: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
  48. Lin, Kuan-Pin & Menkveld, Albert J. & Yang, Zhishu, 2009. "Chinese and world equity markets: A review of the volatilities and correlations in the first fifteen years," China Economic Review, Elsevier, vol. 20(1), pages 29-45, March.
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