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Return & Volatility Disparity, Slow Adjustment Process in Chinese Triple-Listed Firms
GSTF Journal on Business Review
View Archive Info| Field | Value | |
| Title |
Return & Volatility Disparity, Slow Adjustment Process in Chinese Triple-Listed Firms
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| Creator |
Liu, Lixian
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| Subject |
arbitrage, cointegration, cross-listing, equilibrium, error correction model
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| 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 onmultiple exchanges, the shares across exchanges areexpected to be perfect substitutes and when they are not,arbitrage opportunity exists. Using quantitative methods,this study explores whether there are return and volatilitydisparities, which market is the dominant one, whetherthere is long-run relationship between these markets, andhow at which prices are restored in equilibrium. Volatilitydiscrepancies and a relatively slow adjustment process areobserved. Although the majority of cross-listed Chinesefirms are perfect substitutes, there is a window of arbitrageopportunity for a small subset of firms.
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| Publisher |
GSTF Journal on Business Review (GBR)
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| Contributor |
—
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| Date |
2012-10-01
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — |
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| Format |
application/pdf
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| Identifier |
http://dl6.globalstf.org/index.php/gbr/article/view/1259
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| Source |
GSTF Journal on Business Review (GBR); Vol 2, No 2 (2012): Journal on Business Review (GBR)
ISSN: 2251-2888 2010-4804 |
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| Language |
eng
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| Relation |
http://dl6.globalstf.org/index.php/gbr/article/view/1259/1275
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| Rights |
Copyright (c) 2017 GSTF Journal on Business Review (GBR)
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