Kalok Chan

CUHK Business School

Professor

Hong Kong

SCHOLARLY PAPERS

42

DOWNLOADS
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Top 3,733

in Total Papers Downloads

12,473

SSRN CITATIONS
Rank 5,948

SSRN RANKINGS

Top 5,948

in Total Papers Citations

166

CROSSREF CITATIONS

53

Scholarly Papers (42)

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 968 (28,100)
Citation 8

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 950 (28,875)
Citation 14

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, Vrije Universiteit Amsterdam and Tsinghua University - School of Economics & Management
Downloads 938 (29,393)
Citation 35

Abstract:

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4.

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 836 (34,533)
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 810 (36,046)
Citation 14

Abstract:

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herding, forecast dispersion, mutual funds, analysts

6.

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 799 (36,725)
Citation 11

Abstract:

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

7.

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 784 (37,717)
Citation 52

Abstract:

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Price Synchronicity, Security Analyst, Emerging Markets

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 School of Finance, Shanghai University of Finance and Economics
Downloads 746 (40,350)
Citation 2

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Liquidity, Price Synchronicity, adverse information risk

9.
Downloads 701 ( 43,908)
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 701 (43,291)
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

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 663 (47,372)
Citation 12

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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, Vrije Universiteit Amsterdam and Tsinghua University - School of Economics & Management
Downloads 558 (58,962)
Citation 14

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, ABFER, CEPR, and ECGI and Manchester Accounting and Finance Group, Alliance Manchester Business School, University of Manchester
Downloads 539 (61,629)
Citation 3

Abstract:

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Category Learning, Industry Information Diffusion

13.

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, The Hang Seng University of Hong Kong - Department of Economics and Finance and Xiaowei Wang
Downloads 456 (75,840)
Citation 5

Abstract:

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

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 356 (101,065)
Citation 18

Abstract:

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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 337 (106,739)
Citation 14

Abstract:

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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 305 (119,761)
Citation 6

Abstract:

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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 253 (145,324)
Citation 2

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

18.

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 222 (164,931)

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Foreign turnover, Mutual Funds, Information Disclosure, Familiarity

19.
Downloads 217 (168,466)
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 Tsinghua University - PBC School of Finance
Downloads 139 (248,851)
Citation 2

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 78 (370,359)

Abstract:

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Order submission, Order aggressiveness, Disposition effect

20.

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 173 (206,859)

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Short Sale Constraints, Behavioral, Market Efficiency, Options

21.

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 122 (273,999)

Abstract:

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22.

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

Number of pages: 56 Posted: 20 Apr 2020 Last Revised: 02 Jan 2021
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 117 (282,373)

Abstract:

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

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
CUHK Business School, University of Macau - Department of Finance and Business Economics and Hong Kong Baptist University
Downloads 113 (289,338)
Citation 3

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

24.

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 89 (338,717)

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RMB appreciation; GDP growth; momentum factor; return predictability

25.

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 89 (338,717)
Citation 1

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

26.

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 84 (350,865)
Citation 1

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Short Sale Constraints, Price Discovery, Options, Derivatives

27.

Odd-Lot Trading Activity and Nominal Stock Price

Number of pages: 46 Posted: 08 Sep 2020 Last Revised: 22 Feb 2021
Kalok Chan and Jinming XIE
CUHK Business School and Department of Finance, Business School, TheChinese University of Hong Kong
Downloads 59 (425,111)

Abstract:

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

28.

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 58 (428,523)

Abstract:

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Liquidity, Volatility of Liquidity, Investor Heterogeneity, Illiquidity Premium

29.

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 49 (462,058)

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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 41 (496,119)
Citation 1

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

31.

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 40 (500,585)
Citation 1

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Options, Skewness Seeking, Measure Error

32.

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

HKIMR Applied Research Paper No.02/2021
Number of pages: 28 Posted: 07 May 2021
Kalok Chan and Chen Yao
CUHK Business School and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 1

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33.

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

34.

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

35.

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

36.

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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37.

Profitability of Momentum Strategies in the International Equity Markets

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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38.

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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39.

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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40.

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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41.

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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42.

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: 64
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
School of Finance, Shanghai University of Finance and Economics, CUHK Business School and National University of Singapore (NUS) - Department of Finance
Downloads 64

Abstract:

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Price Synchronicity, Liquidity