This paper analyzes the price discovery mechanism between the Chinese American Depository Receipts (ADRs) listed on the New York Stock Exchange (NYSE) and their underlying H shares on the Hong Kong Stock Exchange (HKEX). It employs the Permanent-Transitory decomposition in vector autoregression...

Using the "Dragon and Tiger" list, we construct a clean indicator that directly measures investor attention, empirically test the effect of investor attention on stock return under negative shocks and whether the effect is affected by the bull or bear market, the industry, firm size, age and...

This paper examines the magnet effect of market-wide circuit breaker by investigating the circuit breaker triggering event in the Chinese stock market in 2016. We propose a difference-in-differences AR(3)-GARCH (1,1) model to separate the magnet effect from the effect of investors' overreaction....