| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5069305 | Finance Research Letters | 2017 | 7 Pages |
â¢Cross-listed Taiwan firms in U.K., Hong Kong, and U.S. are studied.â¢Cross-listing locations significantly influence returns of firms.â¢Trading volume effect brings 10% average firm returns within 30 days.â¢Minimum and maximum arbitrage returns are 2% and 18%.â¢Cross-listed firms in the UK and Hong Kong are the most liquid arbitrage locations.
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.
