Title
Red chips or H shares : which China-backed securities process information the fastest?
Document Type
Journal article
Source Publication
Journal of Multinational Financial Management
Publication Date
1-1-2000
Volume
10
Issue
3/4
First Page
315
Last Page
343
Keywords
China-backed securities, EGARCH, Information and market efficiency
Abstract
This study examines the information flow between China-backed securities, namely H shares, red chips, Shanghai and Shenzhen listed common shares. We document several findings. We find that an exponential generalized autoregressive conditional heteroscedasticity in mean (EGARCH-M) model appears to describe adequately the return process of the China-backed securities. Our empirical findings show that both H shares and red chips (which are listed in Hong Kong) are more sensitive to 'good' news than 'bad' news, while stocks listed in the China market are more sensitive to 'bad' news than 'good' news. Using a multivariate EGARCH-M model, we have found significant return and volatility spillover effects among the China-backed securities. Our study indicates that the red chips appear to spread information to other China-backed markets 'directly' or 'indirectly'. The results imply that the red chip market processes information faster than the other markets.
DOI
10.1016/S1042-444X(00)00026-8
Print ISSN
1042444X
E-ISSN
18731309
Publisher Statement
Copyright © 2000 Elsevier Science B.V.
Access to external full text or publisher's version may require subscription.
Full-text Version
Publisher’s Version
Language
English
Recommended Citation
Poon, W. P. H., & Fung, H.-G. (2000). Red chips or H shares: Which China-backed securities process information the fastest? Journal of Multinational Financial Management, 10(3/4), 315-343. doi: 10.1016/S1042-444X(00)00026-8
