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Short-Sales Constraints and Price Discovery: Evidence from the Hong Kong Market

✍ Scribed by ERIC C. CHANG; JOSEPH W. CHENG; YINGHUI YU

Book ID
109176426
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
137 KB
Volume
62
Category
Article
ISSN
0022-1082

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Do small traders contribute to price dis
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✍ Libin Tao; Frank M. Song πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 118 KB

## Abstract Using one‐contract‐size trades in the Mini Hang Seng Index futures to proxy the activities of small traders, this study empirically investigates the information contribution of small futures traders to price discovery on the Hang Seng Index (HSI) markets. Estimated with the models of Go