Return & Volatility Disparity, Slow Adjustment Process in Chinese Triple-Listed Firms
Chinese firms that cross-list in China A-share, Hong Kong and New York markets operate in a complexenvironment. Theoretically, when one firm is trading on multiple exchanges, the shares across exchanges are expected to be perfect substitutes and when they are not, arbitrage opportunity exists. Using...
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| Format: | Journal Article |
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2012
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| Online Access: | http://dl6.globalstf.org/index.php/gbr/article/view/1259 http://hdl.handle.net/20.500.11937/32778 |
| _version_ | 1848753758059626496 |
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| author | Liu, Li Xian |
| author_facet | Liu, Li Xian |
| author_sort | Liu, Li Xian |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Chinese firms that cross-list in China A-share, Hong Kong and New York markets operate in a complexenvironment. Theoretically, when one firm is trading on multiple exchanges, the shares across exchanges are expected to be perfect substitutes and when they are not, arbitrage opportunity exists. Using quantitative methods, this study explores whether there are return and volatility disparities, which market is the dominant one, whether there is long-run relationship between these markets, and how at which prices are restored in equilibrium. Volatility discrepancies and a relatively slow adjustment process are observed. Although the majority of cross-listed Chinese firms are perfect substitutes, there is a window of arbitrage opportunity for a small subset of firms. |
| first_indexed | 2025-11-14T08:29:36Z |
| format | Journal Article |
| id | curtin-20.500.11937-32778 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:29:36Z |
| publishDate | 2012 |
| publisher | - |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-327782017-01-30T13:33:01Z Return & Volatility Disparity, Slow Adjustment Process in Chinese Triple-Listed Firms Liu, Li Xian error correction model cross-listing equilibrium cointegration arbitrage Chinese firms that cross-list in China A-share, Hong Kong and New York markets operate in a complexenvironment. Theoretically, when one firm is trading on multiple exchanges, the shares across exchanges are expected to be perfect substitutes and when they are not, arbitrage opportunity exists. Using quantitative methods, this study explores whether there are return and volatility disparities, which market is the dominant one, whether there is long-run relationship between these markets, and how at which prices are restored in equilibrium. Volatility discrepancies and a relatively slow adjustment process are observed. Although the majority of cross-listed Chinese firms are perfect substitutes, there is a window of arbitrage opportunity for a small subset of firms. 2012 Journal Article http://hdl.handle.net/20.500.11937/32778 http://dl6.globalstf.org/index.php/gbr/article/view/1259 - restricted |
| spellingShingle | error correction model cross-listing equilibrium cointegration arbitrage Liu, Li Xian Return & Volatility Disparity, Slow Adjustment Process in Chinese Triple-Listed Firms |
| title | Return & Volatility Disparity, Slow Adjustment Process in Chinese Triple-Listed Firms |
| title_full | Return & Volatility Disparity, Slow Adjustment Process in Chinese Triple-Listed Firms |
| title_fullStr | Return & Volatility Disparity, Slow Adjustment Process in Chinese Triple-Listed Firms |
| title_full_unstemmed | Return & Volatility Disparity, Slow Adjustment Process in Chinese Triple-Listed Firms |
| title_short | Return & Volatility Disparity, Slow Adjustment Process in Chinese Triple-Listed Firms |
| title_sort | return & volatility disparity, slow adjustment process in chinese triple-listed firms |
| topic | error correction model cross-listing equilibrium cointegration arbitrage |
| url | http://dl6.globalstf.org/index.php/gbr/article/view/1259 http://hdl.handle.net/20.500.11937/32778 |