Kalok Chan

CUHK Business School

Professor

Hong Kong

SCHOLARLY PAPERS

40

DOWNLOADS
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Top 3,513

in Total Papers Downloads

11,584

SSRN CITATIONS
Rank 6,266

SSRN RANKINGS

Top 6,266

in Total Papers Citations

134

CROSSREF CITATIONS

52

Scholarly Papers (40)

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 945 (25,783)
Citation 6

Abstract:

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2.

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 935 (26,172)
Citation 11

Abstract:

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3.

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
CUHK Business School, VU Amsterdam and Tsinghua University - School of Economics & Management
Downloads 912 (27,145)
Citation 31

Abstract:

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4.

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

EFA 2004 Maastricht Meetings Paper No. 2527
Number of pages: 51 Posted: 02 Aug 2004
Vicentiu Covrig, Lilian K. Ng and Kalok Chan
California State University, Northridge - Department of Finance, Financial Planning and Insurance, York University - Schulich School of Business and CUHK Business School
Downloads 824 (31,352)
Citation 13

Abstract:

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5.

Mutual Fund Herding and Dispersion of Analysts' Earnings Forecasts

Number of pages: 41 Posted: 02 Mar 2005
CUHK Business School, Nanyang Technological University (NTU) and Zayed University
Downloads 794 (33,033)
Citation 13

Abstract:

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herding, forecast dispersion, mutual funds, analysts

6.

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 769 (34,440)
Citation 47

Abstract:

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Price Synchronicity, Security Analyst, Emerging Markets

7.

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 744 (36,036)
Citation 9

Abstract:

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

8.

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 Renmin University of China - Hanqing Institute
Downloads 737 (36,504)
Citation 2

Abstract:

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Liquidity, Price Synchronicity, adverse information risk

9.
Downloads 692 ( 39,771)
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 692 (39,192)
Citation 2

Abstract:

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Limit Orders, Depth, and Volatility

As published in Journal of Finance
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

Abstract:

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10.

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 645 (43,699)
Citation 11

Abstract:

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

11.

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
CUHK Business School, VU Amsterdam and Tsinghua University - School of Economics & Management
Downloads 552 (53,402)
Citation 13

Abstract:

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12.

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
The Chinese University of Hong Kong, CUHK Business School, Chinese University of Hong Kong and CEPR and Manchester Accounting and Finance Group, Alliance Manchester Business School, University of Manchester
Downloads 527 (56,684)
Citation 3

Abstract:

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Category Learning, Industry Information Diffusion

13.

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 349 (92,878)
Citation 15

Abstract:

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

AFA 2002 Atlanta Meetings
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 335 (96,532)
Citation 13

Abstract:

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

Journal of Finance, Vol. 58, pp. 1221-1246, June 2003
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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15.

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

Number of pages: 37 Posted: 31 Mar 2007
Lilian K. Ng, Kalok Chan and Vicentiu Covrig
York University - Schulich School of Business, CUHK Business School and California State University, Northridge - Department of Finance, Financial Planning and Insurance
Downloads 301 (109,373)
Citation 4

Abstract:

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

16.

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 248 (134,056)
Citation 1

Abstract:

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

17.

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 215 (153,838)

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Foreign turnover, Mutual Funds, Information Disclosure, Familiarity

18.
Downloads 198 (166,164)
Citation 1

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 Tsinghua University - PBC School of Finance
Downloads 125 (245,282)
Citation 1

Abstract:

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Order submission, Order aggressiveness, Disposition effect

Do Behavioral Biases Affect Order Aggressiveness?

Number of pages: 61 Posted: 03 Oct 2016 Last Revised: 30 Oct 2017
Jiangze Bian, Kalok Chan, Donghui Shi and Hao Zhou
University of International Business and Economics (UIBE), CUHK Business School, Shanghai Stock Exchange and Tsinghua University - PBC School of Finance
Downloads 73 (350,969)

Abstract:

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Order submission, Order aggressiveness, Disposition effect

19.

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

Number of pages: 39 Posted: 09 May 2014 Last Revised: 01 Dec 2016
CUHK Business School, University of Macau - Department of Finance and Business Economics and Hong Kong Baptist University (HKBU)
Downloads 166 (194,315)

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Short Sale Constraints, Behavioral, Market Efficiency, Options

20.

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
CUHK Business School, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Hawaii at Manoa - Shidler College of Business
Downloads 119 (253,577)

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21.

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
CUHK Business School, University of Macau - Department of Finance and Business Economics and Hong Kong Baptist University
Downloads 94 (298,086)
Citation 1

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

22.

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 88 (310,802)
Citation 1

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

23.

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

Number of pages: 9 Posted: 16 Jun 2020
Hong Kong Polytechnic University - Faculty of Business, CUHK Business School, Hong Kong Polytechnic University - School of Accounting and Finance and Xiaowei Wang
Downloads 81 (334,220)

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

24.

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

Number of pages: 45 Posted: 18 Mar 2011
CUHK Business School, University of Macau - Department of Finance and Business Economics and Hong Kong Baptist University (HKBU)
Downloads 74 (344,564)
Citation 1

Abstract:

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Short Sale Constraints, Price Discovery, Options, Derivatives

25.

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 73 (347,172)

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RMB appreciation; GDP growth; momentum factor; return predictability

26.

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

Number of pages: 38 Posted: 19 Dec 2018 Last Revised: 21 Jun 2019
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 43 (445,143)

Abstract:

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Ownership Breadth, Volatility-Volume Relation

27.

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 36 (474,845)
Citation 1

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

28.

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 36 (474,845)

Abstract:

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Options, Skewness Seeking, Measure Error

29.

Does Cross-Border Equity Trading Destabilize the Stock Market: Evidence from Chinese Stock Markets

Number of pages: 63 Posted: 20 Apr 2020
Jiangze Bian, Kalok Chan and Donghui Shi
University of International Business and Economics (UIBE), CUHK Business School and Shanghai Stock Exchange
Downloads 26 (525,595)

Abstract:

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Cross-Border Equity Trading, Shanghai-Hong Kong Stock Connect

30.

Investor Heterogeneity and Liquidity

Number of pages: 64 Posted: 10 Feb 2017 Last Revised: 04 May 2020
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 26 (525,595)

Abstract:

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Liquidity, Volatility of Liquidity, Investor Heterogeneity, Illiquidity Premium

31.

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

Abstract:

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currency and commodity futures markets

32.

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

Abstract:

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Price reversal, momentum strategies

33.

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

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

Abstract:

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Home bias, mutual funds, institutional investors, diversification

34.

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

Journal of Financial Research, Forthcoming
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

Abstract:

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35.

Profitability of Momentum Strategies in the International Equity Markets

Journal of Financial and Quantitative Analysis, Vol. 35, No. 2, June 2000
Posted: 14 Sep 2000
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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36.

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

Posted: 14 Sep 1999
Arizona State University, CUHK Business School and University of Minnesota - Twin Cities - Carlson School of Management

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37.

Do the Profits from Technical Trading Rules Reflect Inefficiencies?

Posted: 10 Oct 1998
Hendrik Bessembinder and Kalok Chan
Arizona State University and CUHK Business School

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38.

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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39.

Market Efficiency and the Returns to Technical Analysis

Financial Management, Vol 27, No 2
Posted: 21 Aug 1998
Hendrik Bessembinder and Kalok Chan
Arizona State University and CUHK Business School

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40.

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

Posted: 12 Dec 1996
York University - Schulich School of Business, CUHK Business School and City University of Hong Kong (CityUHK) - Department of Economics & Finance

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Other Papers (1)

Total Downloads: 57
1.

Stock Price Synchronicity and Liquidity

Number of pages: 39 Posted: 13 Mar 2008 Last Revised: 08 Feb 2009
Wenjin Kang, Kalok Chan and Allaudeen Hameed
Renmin University of China - Hanqing Institute, CUHK Business School and National University of Singapore (NUS) - Department of Finance
Downloads 57

Abstract:

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Price Synchronicity, Liquidity