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

• المؤلفون الرئيسيون: WU, Chunchi, He, Yan
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2003
• الموضوعات: Volatility; Bid–ask spreads; Informed trading costs; Chinese stock markets; Business
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/836

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...