A TRADING RULE TEST USING STOCKHOLM AND U.S. CROSS-LISTED SECURITIES

Jonathan D. Stewart, Terrance Jalbert and Karl-Johan Moritz

The International Journal of Business and Finance Research, 2007, vol. 1, issue 1, 79-89

Abstract: This paper examines the relative efficiency of the U.S. and Stockholm Stock Exchanges. Numerous stocks are cross-listed on United States Exchanges and the Stockholm Stock Exchange. We compare the prices of these firms at near-simultaneous trading times. This study is an extension of an earlier work by Jalbert, Moritz and Stewart (2005), who completed an efficiency test on stocks that are cross-listed on the Stockholm and a U.S. stock exchange, finding evidence of an inefficient market. This paper extends this line of work by conducting a trading rule test to provide additional evidence regarding the efficiency of these markets. The results provided here offer additional evidence of efficiency problems between these two markets.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:ibf:ijbfre:v:1:y:2007:i:1:p:79-89

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