Analysis of price differences between A and H shares

DOI10.1007/S10690-019-09277-1zbMATH Open1425.91438OpenAlexW2955727466MaRDI QIDQ2011047FDOQ2011047

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

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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)

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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