Title :
Empirical research on Information Flow between Share A and Share H Based on Price-Discovery Theory
Author :
Shenggang Yang ; Wei Ma ; Kun Hou
Author_Institution :
Coll. of Finance, HuNan Univ., Changsha, China
Abstract :
This article tests the information flow between Share A and share H adopting the common actor contribution method, which belongs to the price-discovery theory. We discover that in bear market information flow is lower relative to that in bull market. In bear market, information flow between closing price of share A and share H is largely the same as that of closing price of share H and opening price of share A. While In bull market, information flow between closing price of share A and share H is higher than closing price of share H and opening price of share A.
Keywords :
regression analysis; share prices; stock markets; bear market information flow; bull market; common actor contribution method; price-discovery theory; share closing price; share opening price; Educational institutions; Electric shock; Error correction; Finance; Forward contracts; Matrix decomposition; Regression analysis; Statistics; Stock markets; Testing;
Conference_Titel :
Management and Service Science, 2009. MASS '09. International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-4638-4
Electronic_ISBN :
978-1-4244-4639-1
DOI :
10.1109/ICMSS.2009.5305209
