Information Spillover, Profit Opportunities, and Return Deviations Analysis: The Case of Cross-Listed BHP Billiton
AbstractThis paper examines (1) whether a cross-listed company spillover effect starts from an earlier time zone market to a later time zone market, whether investors can find profit opportunities from cross-listed share trading, and (2) whether the magnitude of cross-listed share performance deviations can be sufficiently explained by market fundamental factors. BHP Billiton, the world's largest mining company, is listed on both Australian and UK stock exchanges and has become a perfect example to be examined for the above two hypotheses. We analyze BHP and BLT daily share price returns from 2001 to 2011 and most available Australian and UK market fundamental factors in the same period. With regression analysis, we find evidence that a spillover effect may start from the earlier time zone. Our findings partly support that investors can get arbitrage profit from cross-listed shares when they hold a medium-term position; in the short term, there is no strong evidence to show BHP and BLT prices will converge. Furthermore, we haven't found any evidence that any individual market fundamental factor can sufficiently explain the magnitude of cross-listed share performance deviations.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan in its journal International Journal of Business and Economics.
Volume (Year): 12 (2013)
Issue (Month): 2 (December)
spillover; BHP Billiton; arbitrage; cross listing;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Marcelo Bianconi & Liang Tan, 2009.
"Cross-listing Premium in the US and the UK Destination,"
Discussion Papers Series, Department of Economics, Tufts University
0737, Department of Economics, Tufts University.
- Bianconi, Marcelo & Tan, Liang, 2010. "Cross-listing premium in the US and the UK destination," International Review of Economics & Finance, Elsevier, vol. 19(2), pages 244-259, April.
- Froot, Kenneth A. & Dabora, Emil M., 1999.
"How are stock prices affected by the location of trade?,"
Journal of Financial Economics,
Elsevier, vol. 53(2), pages 189-216, August.
- Kenneth A. Froot & Emil Dabora, 1998. "How are Stock Prices Affected by the Location of Trade?," NBER Working Papers 6572, National Bureau of Economic Research, Inc.
- You, Leyuan & Parhizgari, Ali M. & Srivastava, Suresh, 2012. "Cross-listing and subsequent delisting in foreign markets," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 200-216.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Yi-Ju Su).
If references are entirely missing, you can add them using this form.