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Spillover and Profitability of Intraday Herding on Cross-Listed Stocks
Rose Neng Lai; Yang Zhang
2019-09-10
Source PublicationThe Chinese Economy
ISSN1097-1475
Other Abstract

Companies are cross-listed on multiple exchanges in different countries to take advantage of different market features. Due to the difference in time zones, it is normally quite impossible to take advantage of instantaneous information spillover from market to market to generate abnormal returns. Situations can be different if the cross-listed firms are traded in markets within the same country and in the same time zone, but with different legislative regimes and levels of sophistication. Focusing on investors’ herd behavior and using hourly data, this article finds evidence of cross market information spillover in herding formation and abnormal returns in cross-listed stocks in China’s Shanghai, Shenzhen, and Hong Kong markets. More importantly, we find that investors can make excess returns upon observing herding by buying and holding Hong Kong’s small and median stocks in industrial sectors cross-listed in the Shenzhen market especially in the morning and the end of the trading day.

KeywordHerding Cross-listing Chinese Stock Markets Hong Kong Stock Market
DOIhttps://doi.org/10.1080/10971475.2019.1625244
Indexed BySSCI
Language英语
Fulltext Access
Citation statistics
Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding AuthorYang Zhang
AffiliationFaculty of Business Administration, University of Macau, Macao, China
First Author AffilicationFaculty of Business Administration
Corresponding Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
Rose Neng Lai,Yang Zhang. Spillover and Profitability of Intraday Herding on Cross-Listed Stocks[J]. The Chinese Economy,2019.
APA Rose Neng Lai,&Yang Zhang.(2019).Spillover and Profitability of Intraday Herding on Cross-Listed Stocks.The Chinese Economy.
MLA Rose Neng Lai,et al."Spillover and Profitability of Intraday Herding on Cross-Listed Stocks".The Chinese Economy (2019).
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