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Applied Economics Letters Volume 21, 2014 - Issue 16
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Original Articles

Is pairs trading profitable on China AH-share markets?

Mao Liang LiDepartment of Finance, Xiamen University, Xiamen, China
,
Chin Man ChuiInstitute for Financial and Accounting Studies, Xiamen University, Xiamen, ChinaCorrespondence[email protected]
&
Chang Qing LiDepartment of Finance, Xiamen University, Xiamen, China
Pages 1116-1121 | Published online: 30 Apr 2014

Citations (18)

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Read on this site (4)

Jing Luo, YuCheng Lin & Sijia Wang. (2023) Intraday high-frequency pairs trading strategies for energy futures: evidence from China. Applied Economics 0:0, pages 1-15.
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Kaiyang Sun. (2022) CEO power, innovative investment and family board involvement: An empirical study of Chinese family SMEs. Cogent Business & Management 9:1.
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Andreas Mikkelsen. (2018) Pairs trading: the case of Norwegian seafood companies. Applied Economics 50:3, pages 303-318.
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Nicolas Huck. (2015) Pairs trading: does volatility timing matter?. Applied Economics 47:57, pages 6239-6256.
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Articles from other publishers (14)

Yi Fan & Yang Gao. (2024) Short selling, informational efficiency, and extreme stock price adjustment. International Review of Economics & Finance 89, pages 1009-1028.
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Qiuyuan Lei, Muhammad Umer Quddoos Attari, Mustansar Hayat, Muhammad Munir Ahmad, Abdul Haseeb & Amir Rafique. (2023) Mapping the Themes Underlying the Literature on Cross-Listing of Shares—A Contemporary Corporate Strategy of Sustainable Growth. Sustainability 15:12, pages 9316.
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Marianna Brunetti & Roberta De Luca. (2023) Pairs trading in the index options market. Eurasian Economic Review 13:1, pages 145-173.
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Yang Liu & In-Mu Haw. (2022) On price difference of A+H companies. China Accounting and Finance Review 24:2, pages 199-225.
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Xunfa Lu, Zhitao Ye, Kin Keung Lai, Hairong Cui & Xiao Lin. (2022) Time-Varying Causalities in Prices and Volatilities between the Cross-Listed Stocks in Chinese Mainland and Hong Kong Stock Markets. Mathematics 10:4, pages 571.
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Fernando Caneo & Werner Kristjanpoller. (2020) Improving statistical arbitrage investment strategy: Evidence from Latin American stock markets. International Journal of Finance & Economics 26:3, pages 4424-4440.
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Jun Chen, Gaoliang Tian & Fan Yang. (2020) Individual investors' propensity to speculate and A-share premiums in China's A-shares and H-shares. Emerging Markets Review 43, pages 100689.
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Hanxiong Zhang & Andrew Urquhart. (2018) Pairs trading across Mainland China and Hong Kong stock markets. International Journal of Finance & Economics 24:2, pages 698-726.
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Danni Chen, Jing Cui, Yan Gao & Leilei Wu. (2018) Pairs trading in Chinese commodity futures markets: an adaptive cointegration approach. Accounting & Finance 57:5, pages 1237-1264.
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Philip L.H. Yu & Renjie Lu. (2017) Cointegrated market-neutral strategy for basket trading. International Review of Economics & Finance 49, pages 112-124.
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Christopher Krauss. (2017) STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK. Journal of Economic Surveys 31:2, pages 513-545.
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Eddie Pong, Peter Gunthorp & Alex Chen. (2017) Capturing the Chinese A-Shares and H-Shares Price Anomaly. The Journal of Index Investing.
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Eddie Pong, Peter Gunthorp & Alex Chen. (2017) Capturing the Chinese A-Shares and H-Shares Price Anomaly. The Journal of Index Investing 7:4, pages 60-74.
Crossref
Marianna Brunetti & Roberta De Luca. (2021) Pairs Trading In The index Options Market. SSRN Electronic Journal.
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