Trading imbalances and the law of one price

Research output: Contribution to journalArticlepeer-review

9 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 languageEnglish (US)
Pages (from-to)132-134
Number of pages3
JournalEconomics Letters
Volume112
Issue number1
DOIs
StatePublished - Jul 1 2011
Externally publishedYes

Keywords

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

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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