This paper studies whether individual investors have information advantage before earnings announcements on an emerging market using a unique data set of TWSE. Consistent with existing research on American market, it is surprising that pre-event individual investor trading is also positively...

This paper focuses on Chinese institutional trading and its relation with stock returns. We use the data of institutional ownership of Topview from Shanghai Stock Exchange to get daily order flow of dealers and mutual funds. We first document that their daily order flow is persistent in the...

In contrast to the U-shaped intraday pattern of volume and volatility documented by previous literature, we document a reverse U-shaped intraday pattern of volume and volatility during the afternoon session in Chinese newborn CSI 300 index futures market. We analyze the dominant contracts of CSI...

Security market integration and spanning failures can arise from differential informational access or from administrative barriers to different types of investor, e.g. onshore versus offshore. However, where sufficient motivation exists, a parallel market could arise, where offshore investors...

We discuss metrics of globalization for individual economies as distance measures between fully integrated and trade restricted equilibria in economies initially operating under less than full integration with the global economy. Such metrics can be used to construct country globalization...

This paper considers liberalization of trade in both inter-temporal intermediation services and goods in a joint spatial-inter-temporal trade model. Joint multi-commodity spatial intertemporal models are not (to our knowledge) used in the trade literature as general comparative statics results...

We combine a model of combined inter-spatial and inter-temporal trade between countries recently used by Huang, Whalley and Zhang (2004) to analyze the merits of trade liberalization in services when goods trade is restricted with a model of foreign exchange rationing due to Clarete and Whalley...

We analyze the Hukou system of permanent registration in China which many believe has supported growing relative inequality over the last 20 years by restraining labour migration both between the countryside and urban areas and between regions and cities. Our aim is to inject economic modelling...

We present a two-stage lottery model with generalized Wang transform as a probability weighting function to formally derive investors’ demand for the lottery-like security. Probability overweight on higher expected payoffs accounts for investors’ overvaluation of the security with moderately...