交叉上市股票价格发现能力差异及交易信息含量测度

Abstract

Abstract: Based on market microstructure theory, the price discovery process of securities that trade on multiple markets is analyzed. Upon Hasbrouck’s information share approach, a methodology is introdused to distinguish and measure the two sources of information: private and public information during the trade process of each stock market. In the process of the analysis, empirical evidence on "A+H" cross-listings is provided to test our theory model and methodology.

Key words: cross-listing, price discovery, trade-related information

CLC Number:

F830.91

Chen Xue-Sheng, Qin Jia-Qi. Difference of Price Discovery Abilities among Cross-Lings and the Measurement of the Trade-Related Information[J]. Chinese Journal of Management Science, 2013, (2): 9-16.

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Difference of Price Discovery Abilities among Cross-Lings and the Measurement of the Trade-Related Information

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