The U.S. stock market has long been the most popular venue for both foreign companies and global investors. The recent cross-border regulation tensions between the U.S. and China, however, have exposed many U.S.-listed China Concepts Stocks (CCS) to substantial de-listing risks, forcing them to...

In a production economy with trade in financial markets motivated by the desire to share labor-income risk and to speculate, we show that speculation increases volatility of asset returns and investment growth, increases the equity risk premium, and reduces welfare. Regulatory measures, such as...

We analyze the effects of a recent financial reform that enables cross-market investment between Hong Kong and Shanghai stock exchanges. Using a vector error-correction model, we find that the reform announcement considerably narrows the equilibrium level of price disparity and strengthens the...

We examine the economic determinants of short-sale supply, and its consequences for future stock returns. Lendable supply increases with expected borrowing costs and decreases with financial statement constructs that indicate overvaluation. Although rising loan fees help ease supply, we find...

Exploring staggered quasi-exogenous regulatory changes in China, we find that banking sector FDI significantly reduces the likelihood of stock price crashes of domestic listed firms. The effect is more pronounced among firms with ex-ante lower disclosure quality and worse performances, which...

This paper tests for the existence of the magnet effect linked to price limits imposed in China's equity markets and how a market liberalization event affects trading in securities bound by price limits. The magnet effect of price limits theorises that, instead of stabilising markets, price...

This paper examines the weak-form efficiency of the Korean stock exchange market under the substantially relaxed daily price movement limit system which has been in operation in this market since June 2015. Within the framework of a random walk model, we have carried out a detailed empirical...

Using the equity market liberalization of 23 emerging market countries between 1996 and 2006, we examine how the degree of competition for a firm's shares affects the price of information asymmetry. We find evidence of a significant decline in the pricing of information asymmetry as countries...

We use a heterogeneous agent model to explain market crashes resulting from an unanticipated deleveraging shock. In a market with short sale constraints, when the opinions of investors diverge substantially, the market price is set by the demand schedule of optimistic investors while pessimistic...

We examine if differences in short selling volumes and the information impounded by short sells can contribute to explaining pricing differences which exist between the A- and H-share markets in China. In particular, we argue and also find that informed short selling around earnings...