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A Trading Rule Test Using Stockholm And U.S. Cross-Listed Securities

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  • Jonathan D. Stewart
  • Terrance Jalbert
  • Karl-Johan Moritz

Abstract

This paper examines the relative efficiency of the U.S. and Stockholm Stock Exchanges. Numerous stocks are cross-listed on United States Exchanges and the Stockholm Stock Exchange. We compare the prices of these firms at near-simultaneous trading times. This study is an extension of an earlier work by Jalbert, Moritz and Stewart (2005), who completed an efficiency test on stocks that are cross-listed on the Stockholm and a U.S. stock exchange, finding evidence of an inefficient market. This paper extends this line of work by conducting a trading rule test to provide additional evidence regarding the efficiency of these markets. The results provided here offer additional evidence of efficiency problems between these two markets.

Suggested Citation

  • Jonathan D. Stewart & Terrance Jalbert & Karl-Johan Moritz, 2007. "A Trading Rule Test Using Stockholm And U.S. Cross-Listed Securities," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 1(1), pages 79-89.
  • Handle: RePEc:ibf:ijbfre:v:1:y:2007:i:1:p:79-89
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