A rally for Chinese mainland banks listed in Hong Kong has cut their price gap to mainland shares in half, and that seems to be about as much as investors are willing to tolerate.

In the five months through September, a gauge of the big four lenders' Hong Kong shares jumped 15 percent as southbound cash poured into the stocks, trumping the Hang Seng Index's 11 percent advance. The banking stocks are now giving up some of their gains after the discount to their Shanghai valuations narrowed to the least in more than a year.

The declines signal that price equilibrium between Hong Kong and mainland shares, a prospect that's been burning arbitragers for years, may still be a long way away. With inflows into the city's shares via a link with Shanghai drying up and concerns over rising bad debts weighing on the sector, a revival of the rally in Chinese mainland banks looks unlikely in the near term.