The Mutual Market Access scheme in 2014 triggered an influx of capital from mainland China to Hong Kong. We argue that it is exogenous demand shock for the Hong Kong stocks market and thus provides a unique opportunity to test whether the demand curves for stocks are downward sloping. We find a...

The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill...

The last decade has witnessed a marked improvement in information technology. Such an improvement has reduced the information cost for market participants. Thus, whether the influence of geographic factors on international financial linkage is still significant nowadays is an important question...

This paper develops a new market sentiment index for the Hong Kong stock market, one of the largest stock market in the world. The components of the sentiment measure include the turnover ratio, short-selling volume, money flow, HIBOR and return of the U.S. and Japanese markets. We also include...