Kalok Chan

CUHK Business School

Professor

Hong Kong

  • CUHK Business School

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SCHOLARLY PAPERS

43

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56

Scholarly Papers (43)

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1.

Trade Size, Order Imbalance, and the Volatility-Volume Relation

Number of pages: 39 Posted: 26 Jul 1999
Wai Ming Fong and Kalok Chan
The Chinese University of Hong Kong (CUHK) - Department of Finance and CUHK Business School
Downloads 1,037 (30,552)
Citation 8

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2.

Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount

Journal of Finance, Vol. 63, 2008
Number of pages: 54 Posted: 03 Aug 2003 Last Revised: 26 Jun 2008
Kalok Chan, Albert J. Menkveld and Zhishu Yang
CUHK Business School, Vrije Universiteit Amsterdam and Tsinghua University - School of Economics & Management
Downloads 986 (32,800)
Citation 34

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3.

The Informational Role of Stock and Option Volume

Number of pages: 39 Posted: 26 Jul 1999
Kalok Chan, Y. Peter Chung and Wai Ming Fong
CUHK Business School, University of California at Riverside and The Chinese University of Hong Kong (CUHK) - Department of Finance
Downloads 965 (33,814)
Citation 14

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4.

The Role of ESG Performance During Times of Financial Crisis: Evidence from COVID-19 in China

Number of pages: 9 Posted: 16 Jun 2020
David C. Broadstock, Kalok Chan, Louis T. W. Cheng and Xiao Wei Wang
Hong Kong Polytechnic University - Faculty of Business, CUHK Business School, The Hang Seng University of Hong Kong - Department of Economics and Finance and Xiaowei Wang
Downloads 867 (39,339)
Citation 11

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COVID-19, Pandemic, China, Environmental, Social and Governance (ESG)

5.

Cross-Sectional Stock Return Predictability in China

Number of pages: 42 Posted: 11 Apr 2012
Nusret Cakici, Kalok Chan and Kudret Topyan
Fordham university, CUHK Business School and Manhattan College - Department of Economics and Finance
Downloads 863 (39,604)
Citation 11

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Chinese stock returns, Stock return predictors, Momentum, Stock Cheapness

6.

What Determines the Domestic Bias and Foreign Bias? Evidence from Equity Mutual Fund Allocations Worldwide

Number of pages: 51 Posted: 02 Aug 2004
Vicentiu Covrig, Lilian Ng and Kalok Chan
California State University, Northridge - Department of Finance, Financial Planning and Insurance, Schulich School of Business, York University and CUHK Business School
Downloads 856 (40,027)
Citation 13

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7.

Mutual Fund Herding and Dispersion of Analysts' Earnings Forecasts

Number of pages: 41 Posted: 02 Mar 2005
Kalok Chan, Chuan-Yang Hwang and G. Mujtaba Mian
CUHK Business School, Nanyang Business School, Nanyang Technological University and Zayed University
Downloads 830 (41,726)
Citation 14

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herding, forecast dispersion, mutual funds, analysts

8.

Stock Price Synchronicity and Analyst Coverage in Emerging Markets

Number of pages: 40 Posted: 04 Feb 2003
Allaudeen Hameed and Kalok Chan
National University of Singapore (NUS) - Department of Finance and CUHK Business School
Downloads 798 (43,999)
Citation 56

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Price Synchronicity, Security Analyst, Emerging Markets

9.

Stock Price Synchronicity and Liquidity

Number of pages: 38 Posted: 18 Mar 2008 Last Revised: 01 Jan 2013
Kalok Chan, Allaudeen Hameed and Wenjin Kang
CUHK Business School, National University of Singapore (NUS) - Department of Finance and School of Finance, Shanghai University of Finance and Economics
Downloads 770 (46,102)
Citation 2

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Liquidity, Price Synchronicity, adverse information risk

10.

Limit Orders, Depth, and Volatility

Downloads 720 ( 50,419)
Citation 2

Limit Orders, Depth, and Volatility

Number of pages: 39 Posted: 28 Jul 1999
Hee-Joon Ahn, Kee-Hong Bae and Kalok Chan
Sookmyung Women's University - Division of Business Administration, York University - Schulich School of Business and CUHK Business School
Downloads 720 (49,764)
Citation 2

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Limit Orders, Depth, and Volatility

Posted: 25 Jan 2001
Kee-Hong Bae, Hee-Joon Ahn and Kalok Chan
York University - Schulich School of Business, Sookmyung Women's University - Division of Business Administration and CUHK Business School

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11.

Effects of Short-Sale Constraints on Stock Prices and Trading Activity: Evidence from Hong Kong and Mainland China

Number of pages: 42 Posted: 16 Mar 2010 Last Revised: 02 Apr 2010
Kalok Chan, Hung Wan Kot and Zhishu Yang
CUHK Business School, University of Macau - Department of Finance and Business Economics and Tsinghua University - School of Economics & Management
Downloads 701 (52,298)
Citation 13

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Short-sale constraints, overvaluation, trading activity, Hong Kong market, China A-share market

12.

The Informativeness of Domestic and Foreign Investors' Stock Trades: Evidence from the Perfectly Segmented Chinese Market

Journal of Financial Markets, Vol. 10, No. 4, 2007
Number of pages: 36 Posted: 06 Aug 2003 Last Revised: 14 Jun 2008
Kalok Chan, Albert J. Menkveld and Zhishu Yang
CUHK Business School, Vrije Universiteit Amsterdam and Tsinghua University - School of Economics & Management
Downloads 590 (65,214)
Citation 14

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13.

When the Tail Wags the Dog: Industry Leaders, Limited Attention and Spurious Cross-Industry Information Diffusion

The Management Science, Forthcoming
Number of pages: 54 Posted: 23 Feb 2007 Last Revised: 17 May 2013
Ling Cen, Kalok Chan, Sudipto Dasgupta and Ning Gao
The Chinese University of Hong Kong, CUHK Business School, Chinese University of Hong Kong, ABFER, CEPR, and ECGI and Manchester Accounting and Finance Group, Alliance Manchester Business School, University of Manchester
Downloads 547 (71,762)
Citation 3

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Category Learning, Industry Information Diffusion

14.

Investibility and Return Volatility in Emerging Equity Markets

Number of pages: 36 Posted: 25 Jul 2003
Kee-Hong Bae, Kalok Chan and Angela Ng
York University - Schulich School of Business, CUHK Business School and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 368 (114,540)
Citation 20

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15.

What If Trading Location is Different from Business Location? Evidence from the Jardine Group

Downloads 339 (125,463)

What If Trading Location is Different from Business Location? Evidence from the Jardine Group

Number of pages: 38 Posted: 10 Dec 2001
Kalok Chan, Allaudeen Hameed and Sie Ting Lau
CUHK Business School, National University of Singapore (NUS) - Department of Finance and Nanyang Technological University (NTU) - Division of Banking & Finance
Downloads 339 (124,721)
Citation 18

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What If Trading Location is Different from Business Location? Evidence from the Jardine Group

Posted: 06 Aug 2003
Kalok Chan, Allaudeen Hameed and Sie Ting Lau
CUHK Business School, National University of Singapore (NUS) - Department of Finance and Nanyang Technological University (NTU) - Division of Banking & Finance

Abstract:

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16.

Does Home Bias Affect Firm Value? Evidence from Holdings of Mutual Funds Worldwide

Number of pages: 37 Posted: 31 Mar 2007
Lilian Ng, Kalok Chan and Vicentiu Covrig
Schulich School of Business, York University, CUHK Business School and California State University, Northridge - Department of Finance, Financial Planning and Insurance
Downloads 314 (135,903)

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Home Bias, Mutual Funds, Cost of Capital, Firm Value, Risk Sharing

17.

Why Investors do not Buy Cheaper Securities? Evidence from a Natural Experiment

Journal of Banking and Finance, Forthcoming
Number of pages: 48 Posted: 18 Mar 2010 Last Revised: 08 Feb 2019
Kalok Chan, Baolian Wang and Zhishu Yang
CUHK Business School, University of Florida - Department of Finance, Insurance and Real Estate and Tsinghua University - School of Economics & Management
Downloads 272 (157,640)
Citation 2

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A/B share prices, portfolio inertia, trading experience, trading performance

18.

Cross-Border Equity Flows and Information Transmission: Evidence from Chinese Stock Markets

Number of pages: 57 Posted: 20 Apr 2020 Last Revised: 23 Mar 2022
Jiangze Bian, Kalok Chan, Bing Han and Donghui Shi
University of International Business and Economics (UIBE), CUHK Business School, University of Toronto, Rotman School of Management and Shanghai Stock Exchange
Downloads 262 (163,679)

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Market Integration, Cross-Border Equity Flows, Information Transmission, Shanghai -Hong Kong Stock Connect

19.

Do Behavioral Biases Affect Order Aggressiveness?

Downloads 239 (179,018)
Citation 2

Do Behavioral Biases Affect Order Aggressiveness?

Asian Finance Association (AsianFA) 2015 Conference Paper, PBCSF-NIFR Research Paper No. 13-01
Number of pages: 61 Posted: 19 Aug 2013 Last Revised: 15 Sep 2018
Jiangze Bian, Kalok Chan, Donghui Shi and Hao Zhou
University of International Business and Economics (UIBE), CUHK Business School, Shanghai Stock Exchange and SUSTech Business School
Downloads 157 (260,937)
Citation 2

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Order submission, Order aggressiveness, Disposition effect

Do Behavioral Biases Affect Order Aggressiveness?

Review of Finance, forthcoming
Number of pages: 61 Posted: 03 Oct 2016 Last Revised: 10 Nov 2021
Jiangze Bian, Kalok Chan, Donghui Shi and Hao Zhou
University of International Business and Economics (UIBE), CUHK Business School, Shanghai Stock Exchange and SUSTech Business School
Downloads 82 (413,658)

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Order submission, Order aggressiveness, Disposition effect

20.

Why Foreign Investors Trade More Frequently?

Number of pages: 49 Posted: 17 Mar 2008
Kalok Chan and Vicentiu Covrig
CUHK Business School and California State University, Northridge - Department of Finance, Financial Planning and Insurance
Downloads 227 (187,939)

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Foreign turnover, Mutual Funds, Information Disclosure, Familiarity

21.

Does Option Trading Affect the Return Predictability of Short Selling Activity?

Number of pages: 39 Posted: 09 May 2014 Last Revised: 01 Dec 2016
Kalok Chan, Hung Wan Kot and Sophie Xiaoyan Ni
CUHK Business School, University of Macau - Department of Finance and Business Economics and Hong Kong Baptist University (HKBU)
Downloads 188 (223,435)

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Short Sale Constraints, Behavioral, Market Efficiency, Options

22.

Investor Heterogeneity and Liquidity

Number of pages: 65 Posted: 10 Feb 2017 Last Revised: 13 Feb 2021
Kalok Chan, Si Cheng and Allaudeen Hameed
CUHK Business School, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 170 (243,528)

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Liquidity, Volatility of Liquidity, Investor Heterogeneity, Illiquidity Premium

23.

A Comprehensive Long-Term Analysis of S&P 500 Index Additions and Deletions

Journal of Banking and Finance, Vol. 37, 2013
Number of pages: 39 Posted: 15 Nov 2015
Kalok Chan, Hung Wan Kot and Gordon Y. N. Tang
CUHK Business School, University of Macau - Department of Finance and Business Economics and Hong Kong Baptist University
Downloads 135 (293,354)
Citation 3

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S&P 500 Index Revision, Long-run Performance, Operating Performance, Information Quality, Liquidity

24.

Odd-Lot Trading Activity and Nominal Stock Price

Number of pages: 57 Posted: 08 Sep 2020 Last Revised: 05 Aug 2021
Kalok Chan and Jinming XIE
CUHK Business School and Department of Finance, Business School, TheChinese University of Hong Kong
Downloads 128 (305,392)

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Odd-lot trade, nominal stock price, stock splits, NBBO

25.

A Retrospective Evaluation of the Pacific-Basin Finance Journal: 1993-2002

Dice Center Working Paper No. 2002-9
Number of pages: 35 Posted: 22 Nov 2003
Kalok Chan, George Andrew Karolyi and S. Ghon Rhee
CUHK Business School, Cornell University - SC Johnson College of Business and University of Hawaii at Manoa - Shidler College of Business
Downloads 125 (310,775)

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26.

Do Macroeconomics Matter to Chinese Stock Returns?

Number of pages: 39 Posted: 26 Dec 2018 Last Revised: 08 Jun 2020
Kalok Chan and Samuel Xin Liang
CUHK Business School and Ryerson University
Downloads 101 (360,129)

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RMB appreciation; GDP growth; momentum factor; return predictability

27.

What Determines Mutual Funds' Trading in Foreign Stocks?

Number of pages: 40 Posted: 18 Mar 2009
Kalok Chan and Vicentiu Covrig
CUHK Business School and California State University, Northridge - Department of Finance, Financial Planning and Insurance
Downloads 93 (379,541)
Citation 1

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Churn Rate, Turnover, Mutual Funds, Trading, Information Disclosure, Familiarity

28.

All are Smart: Do Short Sellers Convey More Information than Option Investors?

Number of pages: 45 Posted: 18 Mar 2011
Kalok Chan, Hung Wan Kot and Sophie Xiaoyan Ni
CUHK Business School, University of Macau - Department of Finance and Business Economics and Hong Kong Baptist University (HKBU)
Downloads 89 (389,926)
Citation 1

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Short Sale Constraints, Price Discovery, Options, Derivatives

29.

Investor Participation and the Volatility-Volume Relation: Evidence from an Emerging Market

Emerging Markets Review, Forthcoming
Number of pages: 33 Posted: 19 Dec 2018 Last Revised: 08 Nov 2021
Jiangze Bian, Kalok Chan and Wai Ming Fong
University of International Business and Economics (UIBE), CUHK Business School and The Chinese University of Hong Kong (CUHK) - Department of Finance
Downloads 58 (491,052)

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Ownership Breadth, Volatility-Volume Relation

30.

Conditional Co-Skewness and Safe-Haven Currencies: A Regime Switching Approach

Journal of Empirical Finance, Forthcoming
Number of pages: 59 Posted: 27 Jun 2018
Kalok Chan, Jian Yang and Yinggang Zhou
CUHK Business School, University of Colorado at Denver - Business School and Department of Finance at School of Economics (SOE), and Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
Downloads 55 (503,065)
Citation 1

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currency hedging; safe-haven currencies; conditional co-skewness; regime switching; international asset pricing

31.

The Effect of a Closing auction on Market Quality and Market Efficiency in the Stock Exchange of Hong Kong

Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper AP No. 02/2021
Number of pages: 28 Posted: 07 May 2021 Last Revised: 09 Jun 2022
Kalok Chan and Chen Yao
CUHK Business School and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 48 (533,532)

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32.

Idiosyncratic Skewness Preference or Measurement Error? Evidence from the Options Market

Number of pages: 30 Posted: 12 May 2018
Kalok Chan and Sophie Xiaoyan Ni
CUHK Business School and Hong Kong Baptist University (HKBU)
Downloads 45 (547,562)
Citation 1

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Options, Skewness Seeking, Measure Error

33.

Investor Attention or Investor Sentiment: How Social Media React to ESG?

Posted: 17 Sep 2021 Last Revised: 31 May 2022
Xiaoquan (Michael) Zhang, D. Xu, H. Hong and Kalok Chan
Chinese University of Hong Kong, affiliation not provided to SSRN, affiliation not provided to SSRN and CUHK Business School

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ESG; investor attention; investor sentiment; social media; online investment communities

34.

The Relationship between Commodity Price and Currency Exchange Rate: Evidence from the Futures Markets

Commodity Prices and Markets, East Asia Seminar on Economics, Volume 20, pp. 47-71, 2011
Posted: 07 Apr 2016
Kalok Chan, Yiuman Tse and Michael Williams
CUHK Business School, University of Missouri at Saint Louis and Governors State University

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currency and commodity futures markets

35.

Can Contrarian Strategies Improve Momentum Profits

Journal of Investment Management, Vol. 4, No. 1, First Quarter 2006
Posted: 22 Apr 2006
Hung Wan Kot and Kalok Chan
University of Macau - Department of Finance and Business Economics and CUHK Business School

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Price reversal, momentum strategies

36.

What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide

Posted: 13 Aug 2004
Vicentiu Covrig, Kalok Chan and Lilian Ng
California State University, Northridge - Department of Finance, Financial Planning and Insurance, CUHK Business School and Schulich School of Business, York University

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Home bias, mutual funds, institutional investors, diversification

37.

Free Float and Market Liquidity: A Study of Hong Kong Government Intervention

Posted: 08 Mar 2004
Kalok Chan, Yue-Cheong Chan and Wai Ming Fong
CUHK Business School, Hong Kong Polytechnic University - School of Accounting and Finance and The Chinese University of Hong Kong (CUHK) - Department of Finance

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38.

Profitability of Momentum Strategies in the International Equity Markets

Posted: 14 Sep 2000
Kalok Chan, Allaudeen Hameed and Wilson H.S. Tong
CUHK Business School, National University of Singapore (NUS) - Department of Finance and Hong Kong Polytechnic University - School of Accounting and Finance

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39.

Return Volatility, Cross-Sectional Dispersion, and Trading Activity in the Equity and Futures Markets

Posted: 14 Sep 1999
Hendrik Bessembinder, Kalok Chan and Paul J. Seguin
W.P. Carey School of Business, CUHK Business School and University of Minnesota - Twin Cities - Carlson School of Management

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40.

Do the Profits from Technical Trading Rules Reflect Inefficiencies?

Posted: 10 Oct 1998
Hendrik Bessembinder and Kalok Chan
W.P. Carey School of Business and CUHK Business School

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41.

The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and Cboe Options

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, September 1995
Posted: 25 Aug 1998
Kalok Chan, Y. Peter Chung and Herb Johnson
CUHK Business School, University of California at Riverside and University of California, Riverside (UCR) - Department of Finance and Management Science

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42.

Market Efficiency and the Returns to Technical Analysis

Financial Management, Vol 27, No 2
Posted: 21 Aug 1998
Hendrik Bessembinder and Kalok Chan
W.P. Carey School of Business and CUHK Business School

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43.

Bid-Ask Spread and Arbitrage Profitability: A Study of the Hong Kong Index Futures and Options Market

Posted: 12 Dec 1996
Kee-Hong Bae, Kalok Chan and Stephen Yan-Leung Cheung
York University - Schulich School of Business, CUHK Business School and City University of Hong Kong (CityU) - Department of Economics & Finance

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