Heterogeneous investors' reaction to exchange rate movements: New evidence from a unique emerging market

Emerging Markets Finance and Trade

Volumn 47, Issue SUPPL. 1, 2011, Pages 7-22

  Bae, Sung C ^a   Li, Mingsheng ^a   Shi, Jing ^b  

^a BOWLING GREEN STATE UNIVERSITY   (United States)

^b JIANGXI UNIVERSITY OF FINANCE AND ECONOMICS   (China)

Author keywords

Chinese stock market; foreign exchange rate; market efficiency; price discounts; stock returns

Indexed keywords

EID: 79551595334     PISSN: 1540496X     EISSN: None     Source Type: Journal    
DOI: 10.2753/REE1540-496X4701S102     Document Type: Article

References (29)

1. Bae, S.C.; T.H. Kwon; and M. Li. 2008. "Foreign Exchange Rate Exposure and Risk Premium in International Investments: Evidence from American Depositary Receipts." Journal of Multinational Financial Management 18, no. 2: 165-179.
2. Bailey, W., and J. Jagtiani. 1994. "Foreign Ownership Restrictions and Stock Prices in the Thai Capital Market." Journal of Financial Economics 36, no. 1: 57-87
3. Bartov, E., and G. Bodnar. 1994. "Firm Valuation, Earnings Expectations and the Exchange Rate Effect." Journal of Finance 49, no. 5: 1755-1785.
4. Bodnar, G., and W. Gentry. 1993. "Exchange Rate Exposure and Industry Characteristics: Evidence from Canada, Japan, and the USA." Journal of International Money and Finance 12, no. 1: 29-45.
5. Chakravarty, S.; A. Sarkar; and L. Wu. 1998. "Information Asymmetry, Market Segmentation and the Pricing of Cross-Listed Shares: Theory and Evidence from Chinese A and B Shares." Journal of International Finance Markets, Institutions and Money 8, nos. 3-4: 325-355.
6. Chen, G.M.; B.S. Lee; and O. Rui. 2001. "Foreign Ownership Restrictions and Market Segmentation in China's Stock Markets." Journal of Financial Research 26, no. 1: 133-155.
7. Chen, Y., and Y. Su. 1998. "An Examination into Market Segmentation in the Chinese Stock Market." Advances in Pacific Basin Finance Markets 4, no. 1: 49-70.
8. Chiang, S.; C. Yeh; and C. Chiu. 2009. "Permanent and Transitory Components in the Chinese Stock Market: The ARJI-Trend Mode." Emerging Markets Finance & Trade 45, no. 3 (May- June): 35-55.
9. Chou, W.L., and Y.C. Shih. 1998. "The Equilibrium Exchange Rate of the Chinese Renminbi." Journal of Comparative Economics 26, no. 1: 165-174.
10. Chui, A.C.W., and C.C.Y. Kwok. 1998. "Cross-Autocorrelation Between A Shares and B Shares in the Chinese Stock Market." Journal of Financial Research 21, no. 3: 333-353.
11. Easley, D., and M. O'Hara. 1987. "Price, Trade Size, and Information in Securities Markets." Journal of Financial Economics 19, no. 1: 69-90.
12. Goldstein, M. 2003. "China's Exchange Rate Regime." Testimony before the Subcommittee on Domestic and International Monetary Policy, Trade, and Technology, Committee on Financial Services, U.S. House of Representatives, October 1.
13. Griffin, J., and R. Stulz. 2001. "International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns." Review of Financial Studies 14, no. 1: 215-241. (Pubitemid 33587389)
14. Hietala, P. 1989. "Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market." Journal of Finance 44, no. 3: 697-718.
15. Huang, A.G., and H. Fung. 2005. "Floating the Nonfloatables in China's Stock Market: Theory and Design." Emerging Markets Finance & Trade 41, no. 5 (September-October): 6-26.
16. Jorion, P. 1990. "The Exchange-Rate Exposure of U.S. Multinationals." Journal of Business 63, no. 3: 331-345.
17. Kyle, A.S. 1985. "Continuous Auctions and Insider Trading." Econometrica 53, no. 6: 1315-1335.
18. Ma, X. 1996. "Capital Controls, Market Segmentation and Stock Prices: Evidence from the Chinese Stock Market." Pacific-Basin Finance Journal 4, nos. 2-3: 219-239.
19. Mok, H., and Y.V. Hui. 1998. "Underpricing and Aftermarket Performance of IPOs in Shanghai, China." Pacific-Basin Finance Journal 6, no. 5: 453-474.
20. Miller, E.M. 1977. "Risk, Uncertainty, and Divergence of Opinion." Journal of Finance 32, no. 4: 1151-1168.
21. Nieh, C., and H. Yau. 2010. "The Impact of Renminbi Appreciation on Stock Price in China." Emerging Markets Finance & Trade 46, no. 1 (January-February): 16-26.
22. Pan, H.; X. Xia; and M. Yu. 2008. "Expropriation: Evidence from Rights Issues in China." Emerging Markets Finance & Trade 44, no. 1 (January-February): 5-20.
23. Stulz, R., and W. Wasserfallen. 1995. "Foreign Equity Investment Restrictions, Capital Flight, and Shareholder Wealth Maximization: Theory and Evidence." Review of Financial Studies 8, no. 4: 1019-1057.
24. Sun, Q., and W. Tong. 2000. "The Effect of Market Segmentation on Stock Prices: The China Syndrome." Journal of Banking and Finance 24, no. 12: 1875-1902.
25. Wang S.S., and L. Jiang. 2004. "Location of Trade, Ownership Restrictions, and Market Illiquidity: Examining Chinese A- and H-Shares." Journal of Banking and Finance 28, no. 6: 1273-1297.
26. Williamson, R. 2001. "Exchange Rate Exposure and Competition: Evidence from the Automotive Industry." Journal of Financial Economics 59, no. 3: 441-475.
27. Yang, J. 2003. "Market Segmentation and Information Asymmetry in Chinese Stock Markets: A VAR Analysis." Financial Review 38, no. 4: 591-609.
28. Zhang, Z. 2001. "Real Exchange Rate Misalignment in China: An Empirical Investigation." Journal of Comparative Economics 29, no. 1: 80-94.
29. Zhou, H.; Geppert, J.; and D. Kong. 2010. "An Anatomy of Trading Strategies: Evidence from China." Emerging Markets Finance & Trade 46, no. 2 (March-April): 66-79.