Advanced Search
MyIDEAS: Login to save this article or follow this journal

Information Spillover, Profit Opportunities, and Return Deviations Analysis: The Case of Cross-Listed BHP Billiton

Contents:

Author Info

  • Roger Su

    (Auckland University of Technology, New Zealand)

  • Ronghua Yi

    (China Jiliang University, China)

  • Keith Hooper

    (Auckland University of Technology, New Zealand)

  • Amitabh Dutta

    (Florida Institute of Technology, U.S.A.)

Registered author(s):

    Abstract

    This 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 Info

    If 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.
    File URL: http://www.ijbe.org/table%20of%20content/pdf/vol12-2/vol12-2-05.pdf
    Download Restriction: no

    File URL: http://www.ijbe.org/table%20of%20content/abstract/vol.12/No.2/05.htm
    Download Restriction: no

    Bibliographic Info

    Article 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)
    Pages: 155-170

    as in new window
    Handle: RePEc:ijb:journl:v:12:y:2013:i:2:p:155-170

    Contact details of provider:
    Postal: 100 Wenhwa Road, Seatwen, Taichung
    Web page: http://www.ijbe.org/
    More information through EDIRC

    Related research

    Keywords: spillover; BHP Billiton; arbitrage; cross listing;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    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.:
    as in new window
    1. 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.
    2. 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.
    3. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:ijb:journl:v:12:y:2013:i:2:p:155-170. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Yi-Ju Su).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.