We examine the portfolio turnover of mutual funds from 29 countries across the world and for the period 1999 to 2004. Our results indicate that turnover in foreign securities is higher in the countries that are less developed, have less investor protection, have lower information disclosure...

This paper uses the perfect market segmentation setting in China's stock market to compare the information content of the stock trades of domestic and foreign investors. We study 76 firms that issue both A-shares (for domestic investors) and B-shares (for foreign investors) and compare the price...

We examine the effect of information asymmetry on equity prices in the local A- and foreign B-share market in China. We construct measures of information asymmetry based on market microstructure models, and find that they explain a significant portion of cross-sectional variation in B-share...

This study finds strong evidence that home bias affects firm valuation at both country and firm levels. Results show that, at the country level, domestic investors increasing weights in countries that they have over-weighted produces a negative impact on market valuation, while foreign investors...

This study analyzes the detailed equity holdings of over 20,000 mutual funds from 26 developed and developing countries. Of particular interest is that we examine how this huge number of funds allocates their investment between domestic and foreign equity markets and what factors determine the...

We examine the relation between herding of mutual funds and dispersion of analysts' earnings forecasts to ascertain whether it is the lack of information or the arrival of correlated information that induces herding. Results show that the level of herding in individual stocks is positively...

This study analyzes the detailed equity holdings of over 20,000 mutual funds from 26 developed and developing countries. Of particular interest is that we examine how this huge number of funds allocates their money between domestic and foreign equity markets and what factors determine the...

The August 1998 Hong Kong government intervention in the stock market offers a natural experiment for studying the relation between a free float and market liquidity, where a free float is the portion of listed share capital that is freely traded on the market. Our findings show that, relative...

We examine the price behavior and market activity of the Jardine Group companies after they were delisted from Hong Kong in 1994. Although the trading activity of the Jardine Group moved to Singapore, the core businesses remained in Hong Kong and Mainland China. Evidence indicates the Jardine...

We investigate the role of limit orders in the liquidity provision in the Hong Kong stock market, which is based on a computerized limit-order trading system. Consistent with Handa and Schwartz (1996), results show that market depth rises subsequent to an increase in transitory volatility, and...