Trading imbalances and the law of one price

Mark S. Seasholes; Clark Liu

doi:10.1016/j.econlet.2011.03.017

Trading imbalances and the law of one price

Mark S. Seasholes, Clark Liu

Research output: Contribution to journal › Article › peer-review

10 Scopus citations

Abstract

We study trading and prices of Chinese (mainland)/Hong Kong dual-listed shares. Relative prices can diverge by a factor of two and exhibit significant variation over time. Order imbalances explain contemporaneous changes in relative prices at daily and weekly frequencies.

Original language	English (US)
Pages (from-to)	132-134
Number of pages	3
Journal	Economics Letters
Volume	112
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2011.03.017
State	Published - Jul 2011
Externally published	Yes

Keywords

Cross-listings
Law of one price
Order imbalances

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2011.03.017

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title = "Trading imbalances and the law of one price",

abstract = "We study trading and prices of Chinese (mainland)/Hong Kong dual-listed shares. Relative prices can diverge by a factor of two and exhibit significant variation over time. Order imbalances explain contemporaneous changes in relative prices at daily and weekly frequencies.",

keywords = "Cross-listings, Law of one price, Order imbalances",

author = "Seasholes, {Mark S.} and Clark Liu",

note = "Funding Information: The authors are grateful to the Hang Seng Indexes Company Ltd. for their help and for providing free-float factors. The authors also thank seminar participants at University of Technology, Sydney and at Korea University. Seasholes acknowledges support of the Hong Kong Research Grant Council Project No. 642509 . ",

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AU - Liu, Clark

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PY - 2011/7

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N2 - We study trading and prices of Chinese (mainland)/Hong Kong dual-listed shares. Relative prices can diverge by a factor of two and exhibit significant variation over time. Order imbalances explain contemporaneous changes in relative prices at daily and weekly frequencies.

AB - We study trading and prices of Chinese (mainland)/Hong Kong dual-listed shares. Relative prices can diverge by a factor of two and exhibit significant variation over time. Order imbalances explain contemporaneous changes in relative prices at daily and weekly frequencies.

KW - Cross-listings

KW - Law of one price

KW - Order imbalances

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Trading imbalances and the law of one price

Abstract

Keywords

ASJC Scopus subject areas

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