The law of one price, arbitrage opportunities and price convergence: Evidence from cross-listed stocks

Imen Ghadhab and Slaheddine Hellara

Journal of Multinational Financial Management, 2015, vol. 31, issue C, 126-145

Abstract: The purpose of this study is to analyze price deviations, arbitrage opportunities and price convergence for cross-listed stock. Using a unique and comprehensive sample of dual-listed firms as well as firms with multiple foreign listings, we show that markets of cross-listed stocks are not efficient. We also show that the dynamic of price adjustment is correctly modeled by a multivariate STAR model for which the transition between regimes is affected by both transaction costs and cross-listing.

Keywords: Cross-listing; Arbitrage; Law of one price; STAR model (search for similar items in EconPapers)
JEL-codes: F32 G15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042444X15000274
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:31:y:2015:i:c:p:126-145

DOI: 10.1016/j.mulfin.2015.05.002

Access Statistics for this article

Journal of Multinational Financial Management is currently edited by I. Mathur and G. G. Booth

More articles in Journal of Multinational Financial Management from Elsevier
Bibliographic data for series maintained by Catherine Liu ().