Trading imbalances and the law of one price
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.
Year of publication: |
2011
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Authors: | Seasholes, Mark S. ; Liu, Clark |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 112.2011, 1, p. 132-134
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Publisher: |
Elsevier |
Keywords: | Law of one price Cross-listings Order imbalances |
Saved in:
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