Does the Law of One Price Hold Better under Flexible Exchange Systems?

摘要：

Using China” s recent exchange rate reform as a special event, we investigate whether the law of one price holds better under a more flexible exchange rate system. First, we examine if China” s exchange rate system reform is a change in formality only or a real regime shift. Using Markov Regime Shift tests, we find that China” s exchange rate system reform leads to a regime shift. Second, we test if the switching to a more flexible exchange rate system helps reduce the price discounts of B - and H - shares. Contrary to our expectation, we find a significant increase in B - share and H - share discounts after the exchange system reform. The increase in discounts can not be explained by the changes in risk, asymmetric information or liquidity.

作者: Jing Shi Sung C. Bae Mingsheng Li

作者单位: The Australian National University, Canberra Bowling Green State University, Bowling Green

会议类型: 国内会议

会议名称: 金融创新、金融发展与风险防范国际学术研讨会

会议地点: 南昌

会议语种:英文

页码: 94-115

在线出版日期: 2007-04-13（万方平台首次上网日期，不代表论文的发表时间）