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Does the law of one price hold better under a flexible exchange rate system?

Date

Authors

Bae, Sung C.

Li, Mingsheng

Shi, Jing

Publisher

Elsevier

Abstract

Using China's recent exchange rate system reform as a special event, we investigate two issues pertinent to the change in the exchange rate system: how the documented price discounts on Chinese foreign shares (B- and H-shares) changed after China shifted

Keywords

Keywords: Exchange rate system; Investor expectation and attitude effect; Law of one price; Price discounts of Chinese foreign shares

URI

http://hdl.handle.net/1885/33955

Collections

ANU Research Publications

Source

Journal of Multinational Financial Management

Type

Journal article

DOI

10.1016/j.mulfin.2009.04.001

Restricted until

2037-12-31

Downloads

File

Description

01_Bae_Does_the_law_of_one_price_hold_2009.pdf (557.16 KB)

02_Bae_Does_the_law_of_one_price_hold_2009.pdf (423.2 KB)