Pairs trading across Mainland China and Hong Kong stock markets

Zhang, H. orcid.org/0000-0002-8727-4906 and Urquhart, A. (2019) Pairs trading across Mainland China and Hong Kong stock markets. International Journal of Finance and Economics, 24 (2). pp. 698-726. ISSN 1076-9307

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Item Type: Article
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© 2018 John Wiley & Sons, Ltd. This is an author produced version of a paper subsequently published in International Journal of Finance and Economics. Uploaded in accordance with the publisher's self-archiving policy.

Keywords: Adaptive Market Hypothesis; bootstrap simulation; cross‐border trading; market conditions; market efficiency; pairs trading
Dates:
  • Published: 16 April 2019
  • Published (online): 19 October 2018
  • Accepted: 10 September 2018
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield)
Depositing User: Symplectic Sheffield
Date Deposited: 25 Mar 2019 12:00
Last Modified: 22 Nov 2021 10:23
Status: Published
Publisher: Wiley
Refereed: Yes
Identification Number: 10.1002/ijfe.1687
Open Archives Initiative ID (OAI ID):

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