The Price Discovery Puzzle in Offshore Yuan Trading: Different Contributions for Different Contracts

• Main Authors: DING, David K., TSE, Yiuman, WILLIAMS, Michael R.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2014
• Subjects: Asian Studies; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/3602; https://ink.library.smu.edu.sg/context/lkcsb_research/article/4601/viewcontent/Price_discovery_puzzle_2014_av.pdf
• Institution: Singapore Management University

The People's Bank of China (PBC) lifted yuan trading restrictions in July of 2010 that led to offshore yuan spot trading in Hong Kong. Based on causality analyses, we find that price discovery is absent between the onshore and offshore spot markets. However, we document the presence of price di...