Price comovement and market segmentation of Chinese A- and H-shares: Evidence from a panel latent-factor model
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DOI: 10.1016/j.jimonfin.2022.102794
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More about this item
Keywords
Common latent factors; Cross-listing; Cup-Lasso method; Market segmentation; Panel model;All these keywords.
JEL classification:
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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