Abstract

http://ssrn.com/abstract=1862678
 
 

References (15)



 


 



Forecasting Stock Exchange Opening with Foreign Stock Markets: Evidence from the NYSE and the SSE


George L. Ye


Saint Mary's University - Sobey School of Business

June 11, 2011


Abstract:     
In this paper we examine the interactions between the U.S. stock market and the Chinese stock market in the scope of market microstructure. In particular, first time in the literature, we examine the forecasting ability of the stock performance in one market to predict the direction of the stock price movement at the opening in the other market. Contrary to existing evidence reported in the literature, we find that after the global financial crisis that occurred in late 2007, stock performance in the New York Stock Exchange (NYSE) has shown significant forecasting ability on the Shanghai Security Exchange (SSE) opening, while the forecasting abilities were insignificant before. That is, the performance in the NYSE now plays a role in the opening price discovery in the SSE. However, the daily rates of returns on the NYSE have shown no forecasting ability to predict the stock price movement after the market opening. Our finding that it is possible to forecast the direction of the stock price movement in Chinese stock market at its next opening a few hours ahead may be valuable for many investors.

Number of Pages in PDF File: 25

Keywords: Emerging Stock Market, Chinese stock market,Stock Price Discovery, Market Microstructure

JEL Classification: G14, G15, G17, G19

working papers series


Download This Paper

Date posted: June 12, 2011  

Suggested Citation

Ye, George L., Forecasting Stock Exchange Opening with Foreign Stock Markets: Evidence from the NYSE and the SSE (June 11, 2011). Available at SSRN: http://ssrn.com/abstract=1862678 or http://dx.doi.org/10.2139/ssrn.1862678

Contact Information

George Longsen Ye (Contact Author)
Saint Mary's University - Sobey School of Business ( email )
Halifax, Nova Scotia B3H 3C3 B3H 3C3
Canada
902-420-5733 (Phone)
902-496-8101 (Fax)
Feedback to SSRN


Paper statistics
Abstract Views: 390
Downloads: 71
Download Rank: 196,236
References:  15

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo1 in 0.329 seconds