Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Jan 27

Divergence between duel listed A and H shares

Posted by abiao at 00:23 | Default | Comments(0) | Reads(1793)

At the moment there are 84 firms listed at both A (Shanghai and Shenzhen) and H (Hongkong) stock markets, according to the law of one price, the stock prices of these firms should be at the same level. However, there are huge differences, is the difference mean reverting? can we make profit by long the stocks with large differences? I will test a trading strategy in the following days.


Add a comment
Emots
Enable HTML
Enable UBB
Enable Emots
Hidden
Remember
Nickname   Password   Optional
Site URI   Email   [Register]