Exploring the location and price differentials of cross-listed firms for arbitrage opportunities

Ann Shawing Yang, Craig Alan Uyan Carandang

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)85-91
Number of pages7
JournalFinance Research Letters
Volume21
DOIs
Publication statusPublished - 2017 May

All Science Journal Classification (ASJC) codes

  • Finance

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