Article ID Journal Published Year Pages File Type
5089592 Journal of Banking & Finance 2013 11 Pages PDF
Abstract
► We use a structural model to explain the AH share price disparity. ► We estimate the model using Bayesian methods. ► Posterior standard deviation of asset volatility measures parameter uncertainty. ► Parameter uncertainty explains the disparity in addition to existing explanations.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Explaining share price disparity with parameter uncertainty: Evidence from Chinese A- and H-shares
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