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.
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页码：85 / 91
页数：7
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