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Events

Home Events
economics
21Jan

“Price Discovery and Foreign Ownership in Emerging Markets” by Jun CAI

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Economics Seminar

Authors:

  • Jun CAI
    City University of Hong Kong

  • Zheng Zhang
    Pe-king University

  • Richard Y. K. Ho
    City University of Hong Kong

  • Robert Korajczyk
    Northwestern University

 

This paper examines the relation between intraday price discovery and proxies for financial openness or investor accessibility for a large cross-section of 23 emerging markets. Our sample covers 1,504 stocks over a period of eight months, from 2006 to 2007. We find price discovery, as measured by weighted price contribution, to be most important in early trading sessions immediately after the market opens. Our cross-sectional analysis suggests that price discovery in early trading is negatively related to the level of the bid-ask spread and return volatility, and positively related to the extent of analyst coverage. Most importantly, there is a reliable relation between early price discovery and direct foreign ownership in the underlying stocks. Greater price discovery early in the day is affiliated with a more significant presence of foreign investors in the home markets.

"China's Capital Market and the Twelve Five-Year Plan" by Bin Qi

Thursday, 20 January 2011

"Anchoring and Loss Aversion in the Housing Market: Implications on Price Dynamics" by Tin Cheuk (Tommy) Leung

Wednesday, 26 January 2011

Other Events

book-dialogue-website-cover-01
21Jan
Faculty Level | Event
Insights for Young Leaders in a New Global Era
21 Jan 2021 | 20:00 – 21:00
Online via Facebook and Zoom
Event_680x440_Areas_AL
8Jan
Accounting and Law | Seminar
“Multidimensional Information and Rational Inattention” by Ms. Keri P. Hu
Friday, 8 January 2021 | 10:40 a.m. — 12:10 p.m.
online seminar
Ms. Peicong (Keri) Hu
“Price Discovery and Foreign Ownership in Emerging Markets” by Jun CAI
Friday, 21 January 2011
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