Exploring the location and price differentials of cross-listed firms for arbitrage opportunities

被引：1

作者：

Yang, Ann Shawing ^{[1
]}

Carandang, Craig Alan Uyan ^{[1
]}

机构：

[1] Natl Cheng Kung Univ, Inst Int Management, 1 Univ Rd, Tainan 701, Taiwan

来源：

FINANCE RESEARCH LETTERS | 2017年 / 21卷

关键词：

Cross-listed stocks; Price differentials; Location; Arbitrage opportunities; TRADING VOLUME; LISTINGS; DISCOVERY; MARKETS; RETURN;

D O I：

10.1016/j.frl.2017.02.010

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study analyzes cross-listed Taiwanese firms from 1997 to 2015 to identify the rule of one price, market integration, and arbitrage opportunities. Results show cross-listing locations significant positively and negatively influence home and foreign market returns of firms. The exchange rates insignificantly influence cross-listed firms. Trading volume effect via locational arbitrage opportunities exist in firms with an average return of 10% under 30 days. The minimum and maximum arbitrage average returns are 2% and 18%, respectively. Cross-listed firms in the UK and Hong Kong represent the most liquid arbitrage locations for Evergreen Marine, Far Eastern New Century, and Neo-Neon. (C) 2017 Elsevier Inc. All rights reserved.

引用

页码：85 / 91

页数：7

共 55 条

[1]

Alhaj-Yaseen Y.S., 2013, Journal of Economics and Finance, V37, P274, DOI DOI 10.1007/S12197-011-9183-X

[2] International cross-listing and visibility [J].

Baker, HK ;

Nofsinger, JR ;

Weaver, DG .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2002, 37 (03) :495-521

[3]

Benos E., 2004, EMERG MARK REV, V5, P217, DOI DOI 10.1016/J.EMEMAR.2004.01.002

[4] CLOSED-END COUNTRY FUNDS AND US MARKET SENTIMENT [J].

BODURTHA, JN ;

KIM, DS ;

LEE, CMC .

REVIEW OF FINANCIAL STUDIES, 1995, 8 (03) :879-918

[5] Cross-listing and corporate social responsibility [J].

Boubakri, Narjess ;

El Ghoul, Sadok ;

Wang, He ;

Guedhami, Omrane ;

Kwok, Chuck C. Y. .

JOURNAL OF CORPORATE FINANCE, 2016, 41 :123-138

[6] What if trading location is different from business location? Evidence from the Jardine Group [J].

Chan, K ;

Hameed, A ;

Lau, ST .

JOURNAL OF FINANCE, 2003, 58 (03) :1221-1246

[7]

Chira I., 2014, Journal of Economics and Finance, V38, P53

[8] Racing towards the top?: The impact of cross-listings, and stock market competition on international corporate governance [J].

Coffee, JC .

COLUMBIA LAW REVIEW, 2002, 102 (07) :1757-1831

[9]

Cumming D, 2015, EXPERIENCES AND CHALLENGES IN THE DEVELOPMENT OF THE CHINESE CAPITAL MARKET, P1

[10] The value of home-country governance for cross-listed stocks [J].

Cumming, Douglas ;

Hou, Wenxuan ;

Wu, Eliza .

EUROPEAN JOURNAL OF FINANCE, 2017, 23 (7-9) :674-706

← 1 2 3 4 5 6 →