Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/78207
題名: | The Information Transmission Effect and Asset Prices: Evidence from the China B-Share Discount | 作者: | Liao, Szu-Lang;Tsai, Tsung-Ying 廖四郎;蔡宗穎 |
貢獻者: | 金融系 | 關鍵詞: | asset pricing;information asymmetry;information transmission;market microstructure;stock market | 日期: | 2015 | 上傳時間: | 2-Sep-2015 | 摘要: | We construct a model based on market microstructure and examine the information transmission effect of equity prices in A-share and B-share markets in China. The data on foreign share discounts raise a question: How are asset prices determined if uninformed foreign traders obtain signals by observing public information? Our investigation on the measure of the information transmission effect presents a substantial segment of the cross-sectional variation in B-share discounts and finds that the information transmission effect plays a critical role in explaining how foreign share discounts become more contractive. | 關聯: | Emerging Markets Finance & Trade, 2015 S1, 51, S73-S85 | 資料類型: | article | DOI: | http://dx.doi.org/10.1080/1540496X.2014.998885 |
Appears in Collections: | 期刊論文 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
S73-S85.pdf | 187.54 kB | Adobe PDF2 | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.