Chong, Terence Tai-Leung; Su, Qian - In: Chinese Economy 39 (2006) 5, pp. 68-86
Using intraday high-frequency data, this article investigates the comovement between the A shares and H shares of twenty-one cross-listed Chinese companies. It is found that only a small portion of the cross-listed Chinese companies have a comovement in their A- and H-share prices. The results...