Rezvanian, Rasoul; Turk, Rima A.; Mehdian, Seyed M. - In: Global Finance Journal 22 (2011) 1, pp. 1-18
We examine investors' reactions to extreme price changes in Chinese equity markets to uncover patterns of price formation. We compare the price behavior and volatility of "A" and "B" shares in both the Shanghai and Shenzhen markets within a 30-day window following the arrival of new information...