The intraday price behaviour of Australian and New Zealand cross-listed stocks

This paper considers the intraday price behaviour of Australian stocks listed on the Australian Stock Exchange (ASX) and cross-listed on the New Zealand Stock Exchange (NZX), as well as the dynamics of the New Zealand securities listed on the NZX and cross-listed on the ASX. The study also investigates whether both markets are integrated and whether arbitrage opportunities are available. Consistent with prior literature, the results indicate that each market contributes to price discovery with the home market being dominant. Furthermore, the empirical evidence provides support for integration between the stock exchanges. Finally, arbitrage from trading dual-listed stocks across the two markets is generally not available.