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Trading imbalances and the law of one price

  • Seasholes, Mark S.
  • Liu, Clark
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    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.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0165176511001108
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 112 (2011)
    Issue (Month): 1 (July)
    Pages: 132-134

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    Handle: RePEc:eee:ecolet:v:112:y:2011:i:1:p:132-134
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. Malcolm Baker & Jeffrey Wurgler, 2007. "Investor Sentiment in the Stock Market," NBER Working Papers 13189, National Bureau of Economic Research, Inc.
    2. Jianping Mei & Jose A. Scheinkman & Wei Xiong, 2009. "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," CEMA Working Papers 504, China Economics and Management Academy, Central University of Finance and Economics.
    3. Grossman, S.J. & Miller, M.H., 1988. "Liquidity And Market Structure," Papers 88, Princeton, Department of Economics - Financial Research Center.
    4. Mark S. Seasholes & Terrence Hendershott, 2007. "Market Maker Inventories and Stock Prices," American Economic Review, American Economic Association, vol. 97(2), pages 210-214, May.
    5. Froot, Kenneth A. & Dabora, Emil M., 1999. "How are stock prices affected by the location of trade?," Journal of Financial Economics, Elsevier, vol. 53(2), pages 189-216, August.
    6. Abe De Jong & Leonard Rosenthal & Mathijs A. Van Dijk, 2009. "The Risk and Return of Arbitrage in Dual-Listed Companies," Review of Finance, European Finance Association, vol. 13(3), pages 495-520.
    7. Kenneth A. Froot & Tarun Ramadorai, 2008. "Institutional Portfolio Flows and International Investments," Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 937-971, April.
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