Publications
Publications
- Economics Letters
Trading Imbalances and the Law of One Price
By: Mark Seasholes and Clark Liu
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; Stock Shares; Price; Balance and Stability; Financial Markets; Financial Services Industry; Hong Kong; China
Citation
Seasholes, Mark, and Clark Liu. "Trading Imbalances and the Law of One Price." Economics Letters 112, no. 1 (July 2011): 132–134.