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Speculative trading, price pressure and overvaluation

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Ding, Rong and Cheng, Peng (2011) Speculative trading, price pressure and overvaluation. Journal of International Financial Markets, Institutions and Money, 21 (3). pp. 419-442. doi:10.1016/j.intfin.2011.01.003 ISSN 1042-4431.

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Official URL: http://dx.doi.org/10.1016/j.intfin.2011.01.003

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Abstract

Prior theoretical studies (e.g., Harrison and Kreps, 1978) show that investors pay prices over their valuation of assets if potential buyers are willing to pay even more in the future. This study provides supporting evidence by focusing on the Hong Kong “through train” scheme in August 2007, through which mainland Chinese investors were allowed to directly invest in Hong Kong market, but the decision was reassessed (actually suspended) in November 2007. Our findings show that Hong Kong stocks exhibit excess trading volume associated with the two announcements, and stocks are traded higher after the launch-decision day and lower after the reassessment-decision day.

Item Type: Journal Article
Divisions: Faculty of Social Sciences > Warwick Business School
Journal or Publication Title: Journal of International Financial Markets, Institutions and Money
ISSN: 1042-4431
Official Date: July 2011
Dates:
DateEvent
July 2011Published
Volume: 21
Number: 3
Page Range: pp. 419-442
DOI: 10.1016/j.intfin.2011.01.003
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

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