Cai, Charlie X.; McGuinness, Paul B.; Zhang, Qi - In: Journal of Banking & Finance 35 (2011) 8, pp. 2123-2136
We develop a non-linear Markov error correction approach to examine the general co-integration relation between the H- and A-prices of cross-listed Chinese stock issuers across the period January 1999 to March 2009. We unravel three important dimensions of this relation. These pertain to (i) the...