Price Transmission in the TDR Market
碩士 === 嶺東科技大學 === 財務金融研究所 === 99 === In this study, we examine the price transmission effect between TDRs and their respective underlying stocks listed on Hong Kong market from May 2009 to December 2010. The methodologies include the cointegration test, error correction model and Granger causality....
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/30802499315453883152 |
| Summary: | 碩士 === 嶺東科技大學 === 財務金融研究所 === 99 === In this study, we examine the price transmission effect between TDRs and their respective underlying stocks listed on Hong Kong market from May 2009 to December 2010. The methodologies include the cointegration test, error correction model and Granger causality. We find that TDRs and their underlying Hong Kong stocks exist the long-term cointegration relationship. Besides, the Hong Kong market plays a dominant role in price transmission relative to the Taiwan market. The rationale behind this is that Hong Kong market has no price limits and short sale restrictions. The informed traders tend to reflect their private information in Hong Kong market. We further analysis the short sale restriction effect. The evidence shows that removing short sale restriction will strengthen the TDRs’ price transmission abilities.
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