A Trading Rule Test Using Stockholm and U.S. Cross-Listed Securities

Abstract

This paper examines the relative efficiency of the U.S. and Stockholm Stock Exchanges. Numerous stocks are cross-listed on United States Exchanges and the Stockholm Stock Exchange. We compare the prices of these firms at near-simultaneous trading times. This study is an extension of an earlier work by Jalbert, Moritz and Stewart (2005), who completed an efficiency test on stocks that are cross-listed on the Stockholm and a U.S. stock exchange, finding evidence of an inefficient market. This paper extends this line of work by conducting a trading rule test to provide additional evidence regarding the efficiency of these markets. The results provided here offer additional evidence of efficiency problems between these two markets.

Keywords: Market Efficiency, Stockholm, ADR

JEL Classification: F3, G14