PRICE DISPARITIES AND STOCK MARKET LIBERALIZATIONS

Anchor Y. Lin ； Peggy E. Swanson ； Chan-Chuan Tung

《Advances in Financial Planning and Forecasting》 9期 (2018/12) Pp. 129-162

https://doi.org/10.6291/AFPF.201812_9.0006

摘要

This study investigates the relation between financial market liberalizations and price disparities of China's A-shares and their corresponding cross-listed B-shares, H-shares, and American Depositary Receipts (ADRs). The empirical findings indicate that price disparities have continued to decline and market liberalizations have strengthened price comovements among China's cross-listed stocks. Further, the liberalizations significantly impact the change in price disparities, which are closely related to information transmission, illiquidity trading, noise trader sentiment, investor heterogeneity, and market expectations. Returns from simulated arbitrage trades provide valuable information for investors when the Chinese government allows market participants to arbitrage its cross-listed stocks.

關鍵字

Price Disparity ； Market Liberalization ； Cross-Listed Stock ； Law of One Price

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