Information Spillover, Profit Opportunities, and Return Deviations Analysis: The Case of Cross-Listed BHP Billiton

Roger Su, Ronghua Yi, Keith Hooper and Amitabh Dutta
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Roger Su: Auckland University of Technology, New Zealand
Ronghua Yi: China Jiliang University, China
Keith Hooper: Auckland University of Technology, New Zealand
Amitabh Dutta: Florida Institute of Technology, U.S.A.

International Journal of Business and Economics, 2013, vol. 12, issue 2, 155-170

Abstract: This paper examines (1) whether a cross-listed company spillover effect starts from an earlier time zone market to a later time zone market, whether investors can find profit opportunities from cross-listed share trading, and (2) whether the magnitude of cross-listed share performance deviations can be sufficiently explained by market fundamental factors. BHP Billiton, the world's largest mining company, is listed on both Australian and UK stock exchanges and has become a perfect example to be examined for the above two hypotheses. We analyze BHP and BLT daily share price returns from 2001 to 2011 and most available Australian and UK market fundamental factors in the same period. With regression analysis, we find evidence that a spillover effect may start from the earlier time zone. Our findings partly support that investors can get arbitrage profit from cross-listed shares when they hold a medium-term position; in the short term, there is no strong evidence to show BHP and BLT prices will converge. Furthermore, we haven't found any evidence that any individual market fundamental factor can sufficiently explain the magnitude of cross-listed share performance deviations.

Keywords: spillover; BHP Billiton; arbitrage; cross listing (search for similar items in EconPapers)
JEL-codes: G11 G14 G15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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