Chung, Tsz-Kin; Li, Ka-Fai; Hui, Cho-Hoi - Hong Kong Institute for Monetary Research (HKIMR), … - 2011
The price disparity between the dual-listed Chinese firms in the A- and H-share markets is one of the most intriguing puzzles in the Mainland and Hong Kong financial markets. In this paper, we revisit this price disparity puzzle using the channel of parameter uncertainty. In the presence of...