{"title":"中国互联市场的信息价值","authors":"Keqi Chen , Yuehan Wang , Xiaoquan Zhu","doi":"10.1016/j.jempfin.2024.101526","DOIUrl":null,"url":null,"abstract":"<div><p>The paper studies the role of information in cross-border trading by using the Stock Connect as a novel laboratory. We present evidence that northbound investors have an additional informational advantage over domestic institutional investors regarding firm fundamentals. A long-short strategy earns an average weekly return of 0.34% after adjusting for the Chinese three-factor model. Furthermore, the information advantage of northbound investors is likely to work to a greater effect in asymmetric information environments. Additionally, northbound flows are useful in explaining the subsequent trading activities of domestic investors, which becomes more salient over time and among firms experiencing more attention-induced copycat trading.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"78 ","pages":"Article 101526"},"PeriodicalIF":2.1000,"publicationDate":"2024-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The value of information in China’s connected market\",\"authors\":\"Keqi Chen , Yuehan Wang , Xiaoquan Zhu\",\"doi\":\"10.1016/j.jempfin.2024.101526\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>The paper studies the role of information in cross-border trading by using the Stock Connect as a novel laboratory. We present evidence that northbound investors have an additional informational advantage over domestic institutional investors regarding firm fundamentals. A long-short strategy earns an average weekly return of 0.34% after adjusting for the Chinese three-factor model. Furthermore, the information advantage of northbound investors is likely to work to a greater effect in asymmetric information environments. Additionally, northbound flows are useful in explaining the subsequent trading activities of domestic investors, which becomes more salient over time and among firms experiencing more attention-induced copycat trading.</p></div>\",\"PeriodicalId\":15704,\"journal\":{\"name\":\"Journal of Empirical Finance\",\"volume\":\"78 \",\"pages\":\"Article 101526\"},\"PeriodicalIF\":2.1000,\"publicationDate\":\"2024-08-08\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Empirical Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0927539824000616\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Empirical Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0927539824000616","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
The value of information in China’s connected market
The paper studies the role of information in cross-border trading by using the Stock Connect as a novel laboratory. We present evidence that northbound investors have an additional informational advantage over domestic institutional investors regarding firm fundamentals. A long-short strategy earns an average weekly return of 0.34% after adjusting for the Chinese three-factor model. Furthermore, the information advantage of northbound investors is likely to work to a greater effect in asymmetric information environments. Additionally, northbound flows are useful in explaining the subsequent trading activities of domestic investors, which becomes more salient over time and among firms experiencing more attention-induced copycat trading.
期刊介绍：
The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.
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