Xu, Xiaoqing Eleanor; Fung, Hung-Gay - In: The Financial Review 37 (2002) 4, pp. 563-588
Using a bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model, we examine patterns of information flows for China-backed stocks that are cross-listed on exchanges in Hong Kong and New York. Results analyzing the dual-listed stocks indicate significant mutual feedback...