This paper studies investors herd behavior on firms cross-listed in markets with different legislative regimes and levels of sophistication and yet within the same country. In addition to evidence of herding in each of China's Shanghai, Shenzhen and Hong Kong markets, our finding suggests cross...

Companies are cross-listed on multiple exchanges in different countries to take advantage of different market features. Due to difference in time zones, it is normally quite impossible to take advantage of instantaneous information spillover from market to market to generate abnormal return....