簡易檢索 / 詳目顯示

回結果列表
研究生： 克雷格
Carandang, Craig Alan Uyan
論文名稱： Co-movements and Arbitrage of Cross-Listed Shares
Co-movements and Arbitrage of Cross-Listed Shares
指導教授： 楊曉瑩
Yang, Ann Shawing
學位類別： 碩士
Master
系所名稱： 管理學院 - 國際經營管理研究所
Institute of International Management
論文出版年： 2015
畢業學年度： 103
語文別： 英文
論文頁數： 110
外文關鍵詞： Cross-listed stocks, Arbitrage, Location, Exchange Rate, Trading Volume, Depositary Receipt, Co-movement
相關次數： 點閱：73  下載：0 
分享至:
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報

    • The purpose of this paper is to show that relative price of twin stock prices, also known as cross-listed stocks, are co-move with their trading locations & respective trading volume, and are not correlated with exchange rate movements. This study uses Taiwanese companies listed in three distinct locations: New York, London, and Hong Kong. The results obtained via OLS and Quantile Regression indicate all the companies are affected by its trading locations, violating the law of one price and supporting the notion that international financial markets are not fully integrated with each other. Exchange rates can largely be ignored when valuing cross-listed stocks, while trading volume’s effect is inconclusive. Given the existence of locational arbitrage, a simple arbitrage strategy is formulated to yield average returns ranging from 2% to 18%. This makes it as an attractive investment vehicle worth the time and money for investors, especially arbitrageurs.

    TABLE OF CONTENTS ABSTRACT I ACKNOWLEDGEMENTS II TABLE OF CONTENTS III LIST OF TABLES VI LIST OF FIGURES VII CHAPTER ONE INTRODUCTION 1 1.1 Research Background. 1 1.2 Research Motivation. 1 1.3 Research Objective. 2 1.4 Research Gap. 2 1.5 Study Procedure. 4 CHAPTER TWO LITERATURE REVIEW 6 2.1 Cross-Listed Stocks. 6 2.1.1 Studies on Cross Listings. 6 2.1.2 Depositary Receipts. 12 2.2 Arbitrage. 17 2.3 Co-movements. 19 2.3.1 Time Differences between Markets. 19 2.4 Cross-Border Listing of Taiwanese Firms. 21 CHAPTER THREE RESEARCH DESIGN AND METHODOLOGY 22 3.1 Data Sources and Study Period. 22 3.2 Variables. 26 3.3 Model. 26 3.3.1 Ordinary Least Squares and Quantile Regression. 28 3.3.2 Arbitrage Strategies. 30 CHAPTER FOUR RESEARCH RESULTS 32 4.1 Description of Data and Results. 32 4.2 OLS and Quantile Regression Results. 36 4.3 Hypothesis Testing Summary. 53 4.4 Locational Arbitrage Strategy. 57 CHAPTER FIVE CONCLUSION AND SUGGESTIONS 61 5.1 Conclusion. 61 5.2 Managerial Implications. 64 5.3 Limitations and Direction for Future Research. 65 REFERENCES 67 APPENDICES 71 Appendix 1: Advanced Semiconductor Engineering 71 Appendix 2: AU Optronics 72 Appendix 3: ChipMos 73 Appendix 4: Chunghwa Telecom 74 Appendix 5: Siliconware Precision Industries Co. Ltd 75 Appendix 6: Taiwan Semiconductor 76 Appendix 7: United Microelectronics 77 Appendix 8: Acer 79 Appendix 9: Asia Cement 80 Appendix 10: Cathay Financial 81 Appendix 11: Compal Electronics 82 Appendix 12: Evergreen Marine 83 Appendix 13: Far Eastern 85 Appendix 14: Hon Hai Precision 86 Appendix 15: Lite-On 88 Appendix 16: Shin Kong Financial 89 Appendix 17: Asustek 90 Appendix 18: Good Friend 91 Appendix 19: Ju Teng 93 Appendix 20: Neo-Neon 94 Appendix 21: New Focus 95 Appendix 22: Sandmartin 96 Appendix 23: Solargiga 98 Appendix 24: Tingyi 99 Appendix 25: VMEP 100 Appendix 26: Yorkey 101 Appendix 27: USA 103 Appendix 28: UK 104 Appendix 29: HK 105 Appendix 30: Technology Sector 107 Appendix 31: Non-Technology Sector 108

    REFERENCES
    Baker, H. K., Nofsinger, J. R., & Weaver, D. G. (2002). International cross-listing and visibility. Journal of Financial and Quantitative Analysis, 37(3), 495-521.
    Barberis, N., Shleifer, A., & Wurgler, J. (2005). Comovement. Journal of Financial Economics, 75(2), 283-317.
    Bartram, S. M., & Bodnar, G. M. (2012). Crossing the lines: The conditional relation between exchange rate exposure and stock returns in emerging and developed markets. Journal of International Money and Finance, 31(4), 766-792.
    Bekaert, G., Hodrick, R. J., & Zhang, X. (2009). International stock return comovements. The Journal of Finance, 64(6), 2591-2626.
    Benos, E., & Weisbach, M. S. (2004). Private benefits and cross-listings in the United States. Emerging Markets Review, 5(2), 217-240.
    Bodie, Z., Kane, A., & Marcus, A. (2009). Investments (8th ed.). New York: McGraw-Hill-Irwin Limited.
    Bodurtha, J. N., Kim, D.-S., & Lee, C. M. (1995). Closed-end country funds and US market sentiment. Review of Financial Studies, 8(3), 879-918.
    Burdekin, R. C., & Whited, H. I. (2011). Offshore versus local listings of Taiwanese firms: Evidence from London, New York and Taipei. Applied Financial Economics, 21(9), 637-649.
    Ceretta, P. S., Righi, M. B., & Muller, F. M. (2012). Quantiles autocorrelation in stock markets returns. Economics Bulletin, 32(3), 2065-2075.
    Chae, J. (2005). Trading volume, information asymmetry, and timing information. The Journal of Finance, 60(1), 413-442.
    Chan, K. C., Fong, W. M., Kho, B. C., & Stulz, R. M. (1996). Information, trading and stock returns: Lessons from dually-listed securities. Journal of Banking & Finance, 20(7), 1161-1187.
    Chan, K. C., Hameed, A., & Ting Lau, S. (2003). What if trading location is different from business location? Evidence from the Jardine Group. The Journal of Finance, 58(3), 1221-1246.
    Chang, C.-C., Hsieh, P.-F., & Lai, H.-N. (2009). Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange. Journal of Banking & Finance, 33(4), 757-764.
    Coffee, J. C. (2002). Racing towards the top?: The impact of cross-listings and stock market competition on international corporate governance. Columbia Law Review, 102(7), 1757-1831.
    Damodaran, A. (2012). Investment valuation: Tools and techniques for determining the value of any asset. New York: John Wiley & Sons.
    De Jong, A., Rosenthal, L., & Van Dijk, M. A. (2009). The risk and return of arbitrage in dual-listed companies. Review of Finance, 13(3), 495-520.
    Ding, D. K., Harris, F. H., Lau, S. T., & McInish, T. H. (1999). An investigation of price discovery in informationally-linked markets: Equity trading in Malaysia and Singapore. Journal of Multinational Financial Management, 9(3), 317-329.
    Doidge, C., Karolyi, G. A., & Stulz, R. M. (2004). Why are foreign firms listed in the US worth more? Journal of Financial Economics, 71(2), 205-238.
    Errunza, V. R., & Miller, D. P. (2000). Market segmentation and the cost of the capital in international equity markets. Journal of Financial and Quantitative Analysis, 35(4), 577-600.
    Flavin, T., & O'Connor, T. (2010). The sequencing of stock market liberalization events and corporate financing decisions. Emerging Markets Review, 11(3), 183-204.
    Foerster, S. R., & Karolyi, G. A. (1999). The effects of market segmentation and investor recognition on asset prices: Evidence from foreign stocks listing in the United States. The Journal of Finance, 54(3), 981-1013.
    Foerster, S. R., & Karolyi, G. A. (2000). The long-run performance of global equity offerings. Journal of Financial and Quantitative Analysis, 35(4), 499-528.
    Frankel, J., & Saravelos, G. (2012). Can leading indicators assess country vulnerability? Evidence from the 2008–09 global financial crisis. Journal of International Economics, 87(2), 216-231.
    Frijns, B., Gilbert, A., & Tourani-Rad, A. (2010). The dynamics of price discovery for cross-listed shares: Evidence from Australia and New Zealand. Journal of Banking & Finance, 34(3), 498-508.
    Froot, K. A., & Dabora, E. M. (1999). How are stock prices affected by the location of trade? Journal of Financial Economics, 53(2), 189-216.
    Gagnon, L., & Karolyi, G. A. (2010). Multi-market trading and arbitrage. Journal of Financial Economics, 97(1), 53-80.
    Gozzi, J. C., Levine, R., & Schmukler, S. L. (2008). Internationalization and the evolution of corporate valuation. Journal of Financial Economics, 88(3), 607-632.
    Grammig, J., Melvin, M., & Schlag, C. (2005). Internationally cross-listed stock prices during overlapping trading hours: Price discovery and exchange rate effects. Journal of Empirical Finance, 12(1), 139-164.
    Griffin, J. M., & Stulz, R. M. (2001). International competition and exchange rate shocks: A cross-country industry analysis of stock returns. Review of Financial Studies, 14(1), 215-241.
    Halling, M., Pagano, M., Randl, O., & Zechner, J. (2008). Where is the market? Evidence from cross-listings in the United States. Review of Financial Studies, 21(2), 725-761.
    Hardouvelis, G., Porta, R. L., & Wizman, T. A. (1994). What moves the discount on country equity funds? In J. Frankel (Ed.), The internationalization of equity markets (pp. 345-403). Chicago: University of Chicago Press.
    Jarrow, R. A. (1992). Market manipulation, bubbles, corners, and short squeezes. Journal of Financial and Quantitative Analysis, 27(3), 311-336.
    Jones, C. M., Kaul, G., & Lipson, M. L. (1994). Transactions, volume, and volatility. Review of Financial Studies, 7(4), 631-651.
    Jorion, P. (1991). The pricing of exchange rate risk in the stock market. Journal of Financial and Quantitative Analysis, 26(3), 363-376.
    Jory, S. R., & Ngo, T. N. (2010). Evidence and implications of increases in trading volume around seasoned equity offerings. Journal of Financial and Economic Practice, 10(2), 45-59.
    Karolyi, G. A., & Stulz, R. M. (1996). Why do markets move together? An investigation of US‐Japan stock return comovements. The Journal of Finance, 51(3), 951-986.
    Karpoff, J. M. (1987). The relation between price changes and trading volume: A survey. Journal of Financial and quantitative Analysis, 22(01), 109-126.
    King, M. R., & Segal, D. (2009). The long-term effects of cross-listing, investor recognition, and ownership structure on valuation. Review of Financial Studies, 22(6), 2393-2421.
    Koenker, R., & Hallock, K. (2001). Quantile regression: An introduction. Journal of Economic Perspectives, 15(4), 43-56.
    Lees, F. A. (2012). Financial exchanges: A comparative approach. London, UK: Routledge.
    Lieberman, O., Ben-Zion, U., & Hauser, S. (1999). A characterization of the price behavior of international dual stocks: An error correction approach. Journal of International Money and Finance, 18(2), 289-304.
    Liew, J., & Vassalou, M. (2000). Can book-to-market, size and momentum be risk factors that predict economic growth? Journal of Financial Economics, 57(2), 221-245.
    Liu, L. (2014). International Cross-Listing of Chinese Firms. Hershey, PA: IGI Global.
    Liu, L., & Bogomolov, T. (2013). The law of one price and arbitrage on China's dual-listings. International Journal of Banking and Finance, 9(2), 58-76.
    Lok, E., & Kalev, P. S. (2006). The intraday price behaviour of Australian and New Zealand cross-listed stocks. International Review of Financial Analysis, 15(4), 377-397.
    Maddala, G. S., & Lahiri, K. (2009). Introduction to econometrics (4 ed.). New York: Wiley.
    McKinnon, J. L., Harrison, G. L., Chow, C. W., & Wu, A. (2003). Organizational culture: Association with commitment, job satisfaction, propensity to remain, and information sharing in Taiwan. International Journal of Business Studies, 11(1), 25-44.
    Miller, D. P. (1999). The market reaction to international cross-listings: Evidence from depositary receipts. Journal of Financial Economics, 51(1), 103-123.
    Mitton, T. (2002). A cross-firm analysis of the impact of corporate governance on the East Asian financial crisis. Journal of Financial Economics, 64(2), 215-241.
    Morck, R., Yeung, B., & Yu, W. (2000). The information content of stock markets: Why do emerging markets have synchronous stock price movements? Journal of Financial Economics, 58(1), 215-260.
    Newey, W. K., & West, K. D. (1987). Hypothesis testing with efficient method of moments estimation. International Economic Review, 28(3), 777-787.
    Pathirawasam, C. (2011). The relationship between trading volume and stock returns. Journal of Competitiveness, 3(0), 41-49.
    Rabinovitch, R., Silva, A. C., & Susmel, R. (2003). Returns on ADRs and arbitrage in emerging markets. Emerging Markets Review, 4(3), 225-247.
    Reese, W. A., & Weisbach, M. S. (2002). Protection of minority shareholder interests, cross-listings in the United States, and subsequent equity offerings. Journal of Financial Economics, 66(1), 65-104.
    Rosenthal, L., & Young, C. (1990). The seemingly anomalous price behavior of Royal Dutch/Shell and Unilever NV/PLC. Journal of Financial Economics, 26(1), 123-141.
    Sarkissian, S., & Schill, M. J. (2009). Are there permanent valuation gains to overseas listing? Review of Financial Studies, 22(1), 371-412.
    Sarkissian, S., & Schill, M. J. (2012). The nature of the foreign listing premium: A cross-country examination. Journal of Banking & Finance, 36(9), 2494-2511.
    Stoll, H. R. (2000). Presidential address: Friction. The Journal of Finance, 55(4), 1479-1514.
    Studenmund, A. (2006). Using econometrics: A practical guide. London: Pearson.
    Suarez, E. D. (2005). Arbitrage opportunities in the depositary receipts market: Myth or reality? Journal of International Financial Markets, Institutions and Money, 15(5), 469-480.
    Wang, Z., & Schuh, G. E. (2000). Economic integration among Taiwan, Hong Kong and China: A computable general equilibrium analysis. Pacific Economic Review, 5(2), 229-262.
    Zhou, H., & Owusu-Ansah, S. (2012). Cross listing, disclosure regimes, and trading volume sensitivity to stock returns. Journal of Economics and Finance, 0(0), 1-24.

    下載圖示 校內：2025-07-15公開
    校外：2025-07-15公開
    QR CODE