Article ID Journal Published Year Pages File Type
5085400 International Review of Financial Analysis 2006 21 Pages PDF
Abstract
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.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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