Journal of Service Science and Management

Volume 2, Issue 4 (December 2009)

ISSN Print: 1940-9893   ISSN Online: 1940-9907

Google-based Impact Factor: 1.94  Citations  

The Transmission of Pricing Information of Dually-Listed between Hong Kong and New York Stock Exchange

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DOI: 10.4236/jssm.2009.24041    5,018 Downloads   8,912 Views  Citations
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ABSTRACT

The study investigates the transmission of pricing information between Hong Kong Stock Exchange and New York Stock Exchange. Using the opening and closing stock prices of these two markets from Jan. 2003 to Apr. 2007 with the method of Seemingly Unrelated Regression, we draw the conclusions that: 1) intraday returns of Chinese dually-listed stocks is influenced more obviously by Hang Seng Index than Dow-Jones Average; 2) transmission of pricing information is only from New York to Hong Kong; 3) intraday returns of stocks from New York Stock Exchange has a remarkable influence on that of the next day in Hongkong market, but the stocks price of Hong Kong Stock Exchange has no relation with which of New York Stock Exchange.

Share and Cite:

LI, S. and CHEN, S. (2009) The Transmission of Pricing Information of Dually-Listed between Hong Kong and New York Stock Exchange. Journal of Service Science and Management, 2, 348-352. doi: 10.4236/jssm.2009.24041.

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