Return & Volatility Disparity, Slow Adjustment Process in Chinese Triple-Listed Firms

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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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Bibliographic Details
Main Author:	Liu, Li Xian
Format:	Journal Article
Published:	- 2012
Subjects:	error correction model cross-listing equilibrium cointegration arbitrage
Online Access:	http://dl6.globalstf.org/index.php/gbr/article/view/1259 http://hdl.handle.net/20.500.11937/32778

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