This paper investigates what drives the price disparity to vary in the “twin” shares (A shares traded largely by domestic investors while B- and H- shares traded mainly by foreign investors) in China. Extending the variance decomposition framework of Vuolteenaho (2002), we decompose the unexpected price disparity into two terms: difference in expected return news and difference in cash flow news. Our results show that difference in expected return news overwhelmingly dominates difference in cash flow news in driving the variation of the price disparity. This suggests that to a large extent, market or macro news, rather than firms’ specific news, moves the price disparity of the twin shares.

We evaluate the efficacy of price discovery in the round-the-clock U.S. Treasury market. Using a comprehensive intraday database, we explore informational role of trades over the 24-hour day. We find that information asymmetry is generally highest in the preopen period and lowest in the postclose period. Information asymmetry in the overnight period is comparable to that in the regular trading period. However, on days with macroeconomic announcements, information asymmetry peaks shortly after the news release at 8:30. Moreover, information asymmetry is higher on Monday morning and higher immediately before than after the open of U.S. Treasury futures trading. Although volume is low after hours and trading cost is relatively high, overnight trading generates significant price discovery. Results suggest that overnight trading activity is an important part of the Treasury price discovery process.

The paper analyses monetary policy transmission mechanism in Nigeria. Vector auto-regression model is estimated for the pre-reform and post-reform periods. Variance decompositions and impulse response functions are examined to see whether there are any changes observed in the monetary transmission mechanism after the reforms. Different systems are estimated in each period using alternate variables as measures of monetary policy shocks. When compared results from the two estimation periods, we noted that both the responsiveness of prices and output to policy shocks and the magnitude of their forecast error variance decompositions, explained by these variables, have increased since the reforms. There is evidence of the bank-lending channel both before and after the reforms. Of the mechanisms estimated, the exchange rate and lending mechanisms seem to be the most important mechanisms for transmission of policy shocks to both prices and output during the post-reform period.