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

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  • Yang, Ann Shawing
  • Carandang, Craig Alan Uyan

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.

Suggested Citation

  • Yang, Ann Shawing & Carandang, Craig Alan Uyan, 2017. "Exploring the location and price differentials of cross-listed firms for arbitrage opportunities," Finance Research Letters, Elsevier, vol. 21(C), pages 85-91.
    • Handle: RePEc:eee:finlet:v:21:y:2017:i:c:p:85-91
    DOI: 10.1016/j.frl.2017.02.010
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    More about this item

    Keywords

    Cross-listed stocks; Price differentials; Location; Arbitrage opportunities;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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