This paper investigates the transaction costs of the domestic and foreign shares in the Chinese market after the 2001 reform. We find that the higher transaction costs of foreign shares (vs. domestic shares) on the Shanghai Stock Exchange are attributable to their less active trading activities,...

In this paper, we examine the trading activity and return volatility pattern before and after splits. Unlike previous studies, we employ high-frequency transaction data and more powerful asymptotical tests on the impact of split on volatility. Furthermore, we examine the relationship between...

Using a popular three-factor term structure model that accounts for the correlation between default and interest rates to fit corporate bond yields, we uncover missing factors in the model. The principal component analysis indicates that the model residuals of bonds across different ratings and...