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Volume 12, No. 2, December
2013 |
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Information Spillover, Profit Opportunities, and Return Deviations |
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Analysis: The Case of Cross-Listed BHP Billiton |
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Roger Su |
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Auckland University of Technology,
New Zealand
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Ronghua Yi
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China Jiliang University, China |
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Keith Hooper
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Auckland University of Technology, New Zealand |
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Amitabh Dutta
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Florida
Institute of Technology, U.S.A.
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| Abstract |
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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.
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Key words:
spillover;
BHP Billiton;
arbitrage;
cross listing |
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JEL
classification:
G11;
G14;
G15 |
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