Co-movements and Arbitrage of Cross-Listed Shares

  • 克 雷格

Student thesis: Master's Thesis

Abstract

The purpose of this paper is to show that relative price of twin stock prices also known as cross-listed stocks are co-move with their trading locations & respective trading volume and are not correlated with exchange rate movements This study uses Taiwanese companies listed in three distinct locations: New York London and Hong Kong The results obtained via OLS and Quantile Regression indicate all the companies are affected by its trading locations violating the law of one price and supporting the notion that international financial markets are not fully integrated with each other Exchange rates can largely be ignored when valuing cross-listed stocks while trading volume’s effect is inconclusive Given the existence of locational arbitrage a simple arbitrage strategy is formulated to yield average returns ranging from 2% to 18% This makes it as an attractive investment vehicle worth the time and money for investors especially arbitrageurs
Date of Award2015 Jul 15
Original languageEnglish
SupervisorAnn Shawing Yang (Supervisor)

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