book: Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and...

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	• Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London ... S. Agarwal, C. Liu, ... Elsevier, 2007 view larger image
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This digital document is a journal article from Journal of International Money and Finance, published by Elsevier in 2007. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
Using a sample of Hong Kong-listed stocks that are also traded on the London Stock Exchange, we document the following results: first, London market makers use Hong Kong's closing prices as the benchmark for setting the opening prices in London. Second, trading in the London market plays only a limited role in price discovery in the Hong Kong market. Third, the stock returns from London trading are closely correlated with those of the Hong Kong market. The above findings are consistent with the explanation that London trading is predominantly liquidity-driven but not information-driven.

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