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

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