Download or read book Price Discovery and Information in an Emerging Market written by Jingyun Ma and published by . This book was released on 2010 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a developing stock market such as China, where do informed traders locatelsquo; Does information originate with traders able to access companies, officials and insiders or are foreigners better informedlsquo; We examine the price discovery process for Chinese stocks simultaneously traded in Mainland China and the Hong Kong market. The mainland contributes most to price discovery, according to Hasbrouck's (1995) IS method and the Gonzalo and Granger (1995) PT method. We find a significantly positive relationship between the mainland's share of price discovery and the relative adverse selection component of the effective spread. Consequently, the informational advantage of domestic investors would appear to be the reason that the mainland dominates price discovery.