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Chan, Kalok; Cheng, Si; Hameed, Allaudeen - 2021

Fund flows are more correlated among funds with similar investment horizon, consistent with correlated demand for liquidity. We find that stocks held by institutions with more heterogeneous investment horizon are more liquid and have lower volatility of liquidity. Identification tests confirm...

Persistent link: https://www.econbiz.de/10013247245

Investor heterogeneity and liquidity

Chan, Kalok; Cheng, Si; Hameed, Allaudeen - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 7, pp. 2798-2833

Persistent link: https://www.econbiz.de/10013428943

Stock returns and the transfer of information between the New York and Tokyo stock exchanges

Lau, Sie-ting - In: Journal of international money and finance 13 (1994) 2, pp. 211-222

Persistent link: https://www.econbiz.de/10001161582

Valuation effects of international stock exchange listings

Lau, Sie-ting - In: Journal of banking & finance 18 (1994) 4, pp. 743-755

Persistent link: https://www.econbiz.de/10001170164

U.S. cross-listing and Chinaś B-share discount

Yang, Ting; Lau, Sie-ting - In: Journal of multinational financial management 15 (2005) 4/5, pp. 334-353

Persistent link: https://www.econbiz.de/10003102953

An empirical investigation of Yankee stock offerings

Yang, Ting; Lau, Sie-ting - In: Review of quantitative finance and accounting 34 (2010) 3, pp. 351-370

Persistent link: https://www.econbiz.de/10003970063

Lost in translation : which stock prices bear the burden to adjust to exchange rates?

Lockwood, Jimmy; Lockwood, Larry; Lau, Sie-ting - In: The journal of financial research 39 (2016) 3, pp. 263-290

Persistent link: https://www.econbiz.de/10011547628

Imperfect information and cross-autocorrelation among stock prices

Chan, Kalok - In: The journal of finance : the journal of the American … 48 (1993) 4, pp. 1211-1230

Persistent link: https://www.econbiz.de/10001152161

A further analysis of the lead-lag relationship between the cash market and stock index futures market

Chan, Kalok - In: The review of financial studies 5 (1992) 1, pp. 132-152

Persistent link: https://www.econbiz.de/10001119820

Overnight information and intraday trading behavior : evidence from NYSE cross-listed stocks and their local market information

Chan, Kalok; Chockalingam, Mark; Lai, Kent W.L. - In: Journal of multinational financial management 10 (2000) 3/4, pp. 495-509

Persistent link: https://www.econbiz.de/10001532730