Speculative trading, price pressure and overvaluation

Rong Ding; Peng Cheng

doi:10.1016/j.intfin.2011.01.003

Speculative trading, price pressure and overvaluation

Rong Ding^*, Peng Cheng

^*Corresponding author for this work

Department of Accounting

Middlesex University

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

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.

Original language	English
Pages (from-to)	419-442
Number of pages	24
Journal	Journal of International Financial Markets, Institutions and Money
Volume	21
Issue number	3
DOIs	https://doi.org/10.1016/j.intfin.2011.01.003
Publication status	Published - Jul 2011

Keywords

Excess trading
Hong Kong " through-train" scheme
Short-sell constraints
Speculation

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10.1016/j.intfin.2011.01.003

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KW - Short-sell constraints

KW - Speculation

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Speculative trading, price pressure and overvaluation

Abstract

Keywords

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