An empirical study on the threshold cointegration of Chinese A and H cross-listed shares

DOI10.1080/02664763.2015.1034660OpenAlexW2169567651MaRDI QIDQ5130353

Hai-Qiang Chen, Yanli Zhu

Publication date: 4 November 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2015.1034660

zbMATH Keywords

threshold cointegrationtrading rulesthreshold error correction modelA\&H indicescross-listed shares

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• A cointegration analysis of price transmission between ADRs and dually listed South Korean stocks
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• Dynamic pairs trading using the stochastic control approach
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• Testing for a unit root in time series regression
• Threshold Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Threshold Cointegration and the PPP Hypothesis