Speculative trading, price pressure and overvaluation
Speculative trading, price pressure and overvaluation
Prior theoretical studies (e.g., Harrison and Kreps, 1978) show that investors pay prices over their valuation of assets if potential buyers are willing to pay even more in the future. This study provides supporting evidence by focusing on the Hong Kong “through train” scheme in August 2007, through which mainland Chinese investors were allowed to directly invest in Hong Kong market, but the decision was reassessed (actually suspended) in November 2007. Our findings show that Hong Kong stocks exhibit excess trading volume associated with the two announcements, and stocks are traded higher after the launch-decision day and lower after the reassessment-decision day.
419-442
Ding, Rong
ca23647f-00f4-42d4-a308-6570c8e370b5
Cheng, Peng
1e49aef0-36ef-4cda-af2a-9753881419c9
July 2011
Ding, Rong
ca23647f-00f4-42d4-a308-6570c8e370b5
Cheng, Peng
1e49aef0-36ef-4cda-af2a-9753881419c9
Ding, Rong and Cheng, Peng
(2011)
Speculative trading, price pressure and overvaluation.
Journal of International Financial Markets, Institutions and Money, 21 (3), .
(doi:10.1016/j.intfin.2011.01.003).
Abstract
Prior theoretical studies (e.g., Harrison and Kreps, 1978) show that investors pay prices over their valuation of assets if potential buyers are willing to pay even more in the future. This study provides supporting evidence by focusing on the Hong Kong “through train” scheme in August 2007, through which mainland Chinese investors were allowed to directly invest in Hong Kong market, but the decision was reassessed (actually suspended) in November 2007. Our findings show that Hong Kong stocks exhibit excess trading volume associated with the two announcements, and stocks are traded higher after the launch-decision day and lower after the reassessment-decision day.
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Published date: July 2011
Organisations:
Southampton Business School
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Local EPrints ID: 358516
URI: http://eprints.soton.ac.uk/id/eprint/358516
ISSN: 1042-4431
PURE UUID: 19945316-0763-41d9-aa9c-f1dfb53465dc
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Date deposited: 11 Oct 2013 12:40
Last modified: 14 Mar 2024 15:05
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Author:
Rong Ding
Author:
Peng Cheng
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