Bae, Kee-Hong; Cha, Baekin; Cheung, Yan-Lueng - In: Journal of Business Finance & Accounting 26 (1999-06) 5&6, pp. 709-723
We use the daily opening and closing prices of eighteen dually-listed Hong Kong companies to investigate the transfer of pricing information between the Stock Exchange of Hong Kong (SEHK) and the London Stock Exchange (LSE). Evidence shows that (1) SEHK overnight returns respond significantly to...