Are Stock Price More Informative after Dual-Listing in Emerging Markets? Evidence from Hong Kong-Listed Chinese Companies

The objective of this research is to investigate the relationship between illiquidity and stock prices on the Tunisian stock exchange. While previous researches tended to focus on one form of illiquidity to examine this relationship, our study unifies three forms of illiquidity at the same time. Indeed, we simultaneously consider illiquidity as systematic risk, as a characteristic of the market, and as a characteristic of the stock. The aggregate illiquidity of the market is the average of individual stock illiquidity. The illiquidity risk is the sensitivity of the stock price to illiquidity shocks. Shocks of market illiquidity are estimated by the innovations in the expected market illiquidity. Results show that investors on the Tunisian stock exchange do not require higher returns when they expect a rise of market illiquidity, whereas investors on U.S markets are compensated for higher expected market illiquidity. In addition, shocks of market illiquidity provoke a fall in stock prices of small caps, while large caps are not sensitive to market illiquidity shocks. This differs slightly from results based on U.S. data where illiquidity shocks reduce all stock prices but most notably those of small caps. Robustness tests validate our findings. Our results are consistent with previous studies which reported that the “zero-return” ratio predicts significantly the return-illiquidity relationship on emerging markets.

Download Full-text

Exploring the attention mechanism in LSTM-based Hong Kong stock price movement prediction

Machine Learning and AI in Finance ◽

10.4324/9781003145714-7 ◽

2021 ◽

pp. 60-67

Author(s):

Shun Chen ◽

Lei Ge

Keyword(s):

Hong Kong ◽

Stock Price ◽

Attention Mechanism ◽

Price Movement ◽

Movement Prediction

Download Full-text

Does switching trading venues create value? Evidence from Hong Kong

Journal of Asian Business and Economic Studies ◽

10.1108/jabes-09-2019-0080 ◽

2020 ◽

Vol 27 (2) ◽

pp. 209-222 ◽

Cited By ~ 1

Author(s):

Johnny K.H. Kwok

Keyword(s):

Hong Kong ◽

Stock Market ◽

Stock Price ◽

Abnormal Returns ◽

Excess Returns ◽

Trading Activity ◽

Content Type ◽

Growth Enterprise Market ◽

Two Measures ◽

Hong Kong Stock Market

PurposeThe purpose of this paper is to study whether switching trading venues create value in the Hong Kong stock market.Design/methodology/approachBy using an event study, the paper investigates the abnormal returns (AR) earned by firms in the Growth Enterprise Market (GEM) relating to switching to the Main Board (MB). Two measures, turnover of the stock and Amihud’s (2002) illiquidity ratio, are used to examine the liquidity effects.FindingsThe switch is accompanied by a long-term increase in stock price for low liquidity firms only. High liquidity firms underperform with persistent negative excess returns after switching, while the transient negative excess returns in low liquidity firms reverse gradually. The results further show a significant increase in trading activity for low liquidity firms following the switch, while there is a significant decline in both trading activity and liquidity in firms with high liquidity. The overall results suggest that moving from GEM to the MB is beneficial to low liquidity firms but detrimental to high liquidity firms.Originality/valueThis study is the first to investigate whether moving from GEM to the MB creates value in the Hong Kong stock market.

Download Full-text