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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/78207
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/78207

    Title: The Information Transmission Effect and Asset Prices: Evidence from the China B-Share Discount
    Authors: Liao, Szu-Lang;Tsai, Tsung-Ying
    Contributors: 金融系
    Keywords: asset pricing;information asymmetry;information transmission;market microstructure;stock market
    Date: 2015
    Issue Date: 2015-09-02 17:05:29 (UTC+8)
    Abstract: We construct a model based on market microstructure and examine the information transmission effect of equity prices in A-share and B-share markets in China. The data on foreign share discounts raise a question: How are asset prices determined if uninformed foreign traders obtain signals by observing public information? Our investigation on the measure of the information transmission effect presents a substantial segment of the cross-sectional variation in B-share discounts and finds that the information transmission effect plays a critical role in explaining how foreign share discounts become more contractive.
    Relation: Emerging Markets Finance & Trade, 2015 S1, 51, S73-S85
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1080/1540496X.2014.998885
    DOI: 10.1080/1540496X.2014.998885
    Appears in Collections:[金融學系] 期刊論文

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