Trading imbalances and the law of one price

Mark S. Seasholes; Clark Liu

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Trading imbalances and the law of one price

机译：交易失衡和一价定律

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摘要

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.

机译：我们研究中国（大陆）/香港双重上市股票的交易和价格。相对价格可能相差2倍，并且会随时间变化很大。订单失衡说明了每日和每周相对价格同时发生的变化。

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来源
《Economics letters》 |2011年第1期|p.132-134|共3页
作者
Mark S. Seasholes; Clark Liu;
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作者单位

HKUST, Department of Finance (Rm 2413), Clear Water Bay, Kowloon, Hong Kong;

HKUST, Department of Finance (Rm 2413), Clear Water Bay, Kowloon, Hong Kong;

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原文格式 PDF
正文语种 eng
中图分类
关键词
law of one price; cross-listings; order imbalances;

机译：一价定律交叉上市订单不平衡;

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Trading imbalances and the law of one price

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