Cai, CX, McGuinness, PB and Zhang, Q (2015) Capital account reform and short- and long-run stock price leadership. European Journal of Finance, 23 (10). pp. 916-945. ISSN 1351-847X
Abstract
This paper studies the effect of capital account liberalization policies on the price discovery of cross-listings in Chinese stocks. We construct a non-linear causality framework that decomposes short- and long-run dimensions of price leadership. Our analysis shows that capital account liberalization has had a profound effect on long-run A- and H-price leadership traits. Specifically, increased inward capital movement from Qualified Foreign Institutional Investors strengthens long-term leadership in the mainland A-market. Similarly, increased capital outflow from the Chinese mainland galvanizes long-term price discovery processes in the Hong Kong H-market. We thus offer strong evidence that capital account liberalization promotes stock market efficiency in the long-run. The present study's empirical account also suggests that such capital flows inhibit short-term lead-lag effects.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2015, Taylor & Francis. This is an Accepted Manuscript of an article published by Taylor & Francis in European Journal of Finance, available online: http://dx.doi.org/10.1080/1351847X.2015.1105272. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | capital account liberalization, A- and H-share cross-listings, short- and long-run price leadership, G01, G15, G18 |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 17 Nov 2015 11:06 |
Last Modified: | 13 Mar 2018 09:29 |
Status: | Published |
Publisher: | Taylor & Francis |
Identification Number: | 10.1080/1351847X.2015.1105272 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:91860 |