Chen, Haiqiang; Choi, Paul Moon Sub; Hong, Yongmiao - In: Journal of International Money and Finance 32 (2013) C, pp. 668-699
The adjustment to parity can be nonlinear for a cross-listed pair: Convergence may be quicker when the price deviation is sufficiently profitable. We propose a threshold error correction model (ECM) to gauge the market-respective information shares of Canadian listings traded on the Toronto...