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.
Highlights
In recent years, there have been quite a number of Chinese companies listed in foreign capital markets
(0.56~0.87) is more than (0.97~1.52), which indicates the fluctuation range of Chinese stocks returns of New York Stock Exchange (NYSE) are narrower than Dow Jones Industrials Index, and which from Hong Kong Stock Exchange (HKSE) are wider than Hong Kong Hang
This study examines the transmission of pricing information between market participants in the HKSE and the NYSE
Summary
There have been quite a number of Chinese companies listed in foreign capital markets. According to the China Securities Regulatory’s Statistics, up to early 2006, there are a total of 120 Chinese companies listed in foreign capital markets. Along with China's financial industry is opened to external and to deepen finance reformation, more and more people begin to pay attention to the relationships between Chinese market and overseas securities market. Koch and Koch examined relationships between daily closing values of eight national stock indices for the years 1972, 1980 and 1987.Their result suggested that international stock market has grown an more interdependent over time, and increased equity market interdependence has been concentrated primarily between markets in neighboring countries and between markets whose trading hours overlap [1]
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