Exploring the location and price differentials of cross-listed firms for arbitrage opportunities
Ann Shawing Yang and
Craig Alan Uyan Carandang
Finance Research Letters, 2017, vol. 21, issue C, 85-91
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.
Keywords: Cross-listed stocks; Price differentials; Location; Arbitrage opportunities (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:21:y:2017:i:c:p:85-91
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