An Explanation of the Volatility Disparity between the Domestic and Foreign Shares in the Chinese Stock Markets

• Main Authors: WU, Chunchi, He, Yan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2003
• Subjects: Volatility; Bid–ask spreads; Informed trading costs; Chinese stock markets; Business
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/836
• Institution: Singapore Management University

Return volatility is found significantly higher for the foreign shares (B shares) than for the domestic shares (A shares) traded in the Chinese stock markets. To explain this volatility disparity, we investigate the bid–ask spreads and estimate the market-making costs (informed trading and noninform...