In this paper, price discovery among the Hang Seng Index markets is investigated using the Hasbrouck and Gonzalo and Granger common‐factor models and the multivariate generalized autoregressive conditional heteroskedasticity (M‐GARCH) model. Minute‐by‐minute data from the Hang Seng...

This article examines the intraday price discovery process among stock index, index futures, and index options in Germany using DAX index securities and intraday transactions data. The three index securities contribute to a common factor, but the spot index and index futures have substantially...

In this article, the accuracy of analysts' earnings forecasts in China is studied. Chinese-listed firms with foreign ownership need to report their financial statements in accordance with both Chinese and international accounting standards. This reporting environment offers a good testing ground...

This paper examines herding behavior among Hong Kong investors using announcements of the opening of new casinos in Macau. The results show that there is a difference in the herding behavior toward these “Macau concept” stocks before and after the change in investment sentiment regarding...