Faculty of Business Administration

FBE Brown Bag Seminar

Option Trading and the Cross-Listed Stock Returns: Evidence from Chinese A-H Shares


Prof. Xingguo LUO

Associate Professor in Finance,

Zhejiang University



We empirically investigate effects of option trading on the cross-listed stock returns. Using dual listed stocks in ma inland China (A) and Hong Kong (H) exchanges, we show that option order imbalance (OI) positively and significantly predicts daily stock returns for both markets, controlling for risk factors and firm characteristics. Informed trading rather than price pressure better explains the predictability. High OI stocks not only have higher trading volume, but also present lottery like properties. Three important events significantly affect the predictive power of OI, consistent with the improved market quality and the episode of speculative trading. Robustness checks support main findings.

Date:          29 Nov 2019 (Fri)
Time:          10:30 – 12:00
Venue:        E22-2007


Prof. Xingguo LUO is Associate Professor in Finance and Deputy Head of Finance Department of School of Economics and Academy of Financial Research (AFR), Zhejiang University. He obtained B.S. in Mathematics from Zhejiang University and Ph.D. in Finance from The University of Hong Kong. Prof. LUO’s primary research interests are asset pricing, derivatives, quantitative trading, green finance, ABS, digital and inclusive finance. He has published research works in the Journal of Financial Markets, Journal of Futures Markets and five of them are lead articles. He actively presented his papers in major international finance conferences and served as Session Chair for Financial Management Association (FMA, 2010), Asian Finance Association (AsianFA, 2012) annual meetings and the International Conference on Futures and Other Derivatives (ICFOD 2017, 2018), and conference Co-Chairs for the first and second International Conference on Energy Finance (2016, 2017) and the 8th ICFOD (2019). He also received research grant from the CME Group Foundation in 2012. He also served as reviewer for many journals including Management Science, Quantitative Finance, Pacific-Basin Finance Journal, Energy Economics, Journal of Banking and Finance and World Economy. Currently, he is on the editorial board of Journal of Futures Markets.