Analysis of price differences between A and H shares

DOI10.1007/S10690-019-09277-1MaRDI QIDQ2011047zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 28 November 2019

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-019-09277-1

zbMATH Keywords

factor modelAH premiumstock market segmentation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

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Cites work

• Common risk factors in the returns on stocks and bonds

Cited in

(2)

• Market segmentation and foreign share discount in China
• Testing for expected return and market price of risk in Chinese A and B share markets: A geometric Brownian motion and multivariate GARCH model approach

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