TY - JOUR
T1 - Exploring the location and price differentials of cross-listed firms for arbitrage opportunities
AU - Yang, Ann Shawing
AU - Carandang, Craig Alan Uyan
N1 - Publisher Copyright:
© 2017 Elsevier Inc.
PY - 2017/5
Y1 - 2017/5
N2 - 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.
AB - 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.
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U2 - 10.1016/j.frl.2017.02.010
DO - 10.1016/j.frl.2017.02.010
M3 - Article
AN - SCOPUS:85012867467
SN - 1544-6123
VL - 21
SP - 85
EP - 91
JO - Finance Research Letters
JF - Finance Research Letters
ER -
