Trading imbalances and the law of one price

Mark Seasholes, Clark Liu

Research output: Contribution to journalArticle

8 Citations (Scopus)

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 languageEnglish (US)
Pages (from-to)132-134
Number of pages3
JournalEconomics Letters
Volume112
Issue number1
DOIs
StatePublished - Jul 2011
Externally publishedYes

Fingerprint

Law of one price
Relative prices
Imbalance
Hong Kong
Factors
Order imbalance

Keywords

  • Cross-listings
  • Law of one price
  • Order imbalances

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Cite this

Trading imbalances and the law of one price. / Seasholes, Mark; Liu, Clark.

In: Economics Letters, Vol. 112, No. 1, 07.2011, p. 132-134.

Research output: Contribution to journalArticle

Seasholes, Mark ; Liu, Clark. / Trading imbalances and the law of one price. In: Economics Letters. 2011 ; Vol. 112, No. 1. pp. 132-134.
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