Trading imbalances and the law of one price

Mark S. Seasholes and Clark Liu

Economics Letters, 2011, vol. 112, issue 1, 132-134

Abstract: We study trading and prices of Chinese (mainland)/Hong Kong dual-listed shares. Relative prices can diverge by a factor of two and exhibit significant variation over time. Order imbalances explain contemporaneous changes in relative prices at daily and weekly frequencies.

Keywords: Law; of; one; price; Cross-listings; Order; imbalances (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:112:y:2011:i:1:p:132-134

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