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The price disparity between the A- and H-share markets for dual-listed firms in China is one of the most intriguing puzzles in the mainland and Hong Kong financial markets. In this paper, we revisit this price disparity puzzle using the channel of parameter uncertainty. In the presence of...
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comparison shows that the security return predictability in China market is even stronger than that in US market in recent period …
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Financial conditions indexes (FCIs) are constructed for five Asian economies, namely, Hong Kong, China; Japan; the Republic of Korea; Malaysia; and Singapore, using a principal component analysis (PCA) methodology from Hatzius et al. (2010) and quarterly data. Various financial stress indicators are...
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