Quantitative FinanceJuly 8, 2026

The Pricing of Cross-Border Dual-Listed Equities

Exploring liquidity premia, arbitrage constraints, and the persistent Chinese AH Premium Puzzle. A deep dive into why the Law of One Price is systematically violated in global markets through quantitative finance models.

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Cross-Border Dual-Listed Equities & AH Premium Puzzle

The Law of One Price is a foundational axiom in finance, asserting that two identical assets should trade at the same price. This law is systematically violated in the Chinese equity market, where companies simultaneously list "A-shares" on mainland exchanges and "H-shares" in Hong Kong. Despite identical dividend entitlements, A-shares historically trade at a massive, volatile premium to H-shares, known as the AH Premium Puzzle.

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