![]() Rev Quant Finance Account 1–24Ĭhakravarty S, Gulen H, Mayhew S (2004) Informed trading in stock and option markets. J Futur Mark 19:619–643Ĭao R, Horváth L, Liu Z, Zhao Y (2019) A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis. J Financ Mark 5:309–321īooth GG, So RW, Tse Y (1999) Price discovery in the German equity index derivatives markets. ( 2019) find that foreigners trades make a significant contribution to price discovery in Taiwan futures markets.īaillie RT, Booth GG, Tse Y, Zabotina T (2002) Price discovery and common factor models. ( 2016) show that the relative sizes of open interest among hedgers and speculators have statistically significant influences on price discovery within the FX futures market. Choy and Zhang ( 2010) support the trading costs hypothesis which predicts that the market with the lower trading costs will react more quickly to new information. According to Chen and Gau ( 2009), bid–ask spreads and tick size rules within the stock market exert statistically significant influences on price discovery in both stock and futures markets. ( 2004) show that price discovery in options markets relates positively to relative trading volume, relative bid–ask spread, and underlying volatility Mizrach and Neely ( 2008) and Fricke and Menkhoff ( 2011) also find that relative bid–ask spreads, trading volume, and realized volatility have statistically significant influences on daily price discovery in the U.S. We thank an anonymous reviewer for suggesting the need to discuss arbitrage limits between onshore and offshore markets.Ĭhakravarty et al. ![]() These restrictions on cross-border transactions also may affect arbitrage opportunities between onshore and offshore RMB markets. ![]() The bank may restrict large-scale purchases of foreign currency by customers under this regulation. On 28 December 2016, the PBC released the Measures for the Administration of the Reporting of Large Transactions and Suspicious Transactions by Financial Institutions, which require financial institutions in China to report any cash transactions of more than 50,000 RMB and any cross-border cash transfers of more than 200,000 RMB. For outbound payments by individuals, there is an annual quota of US$50,000 for each citizen, and the rules make it more difficult for individuals to pool their quotas to make large overseas investments. China’s capital controls affect cross-border transactions, including restrictions on outbound investments, offshore loans, outbound payments by individuals, and outbound payments by corporations, according to the China Law and Practice website. ![]()
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