Information Spillover, Profit Opportunities, and Return Deviations Analysis: The Case of Cross-Listed BHP Billiton

International Journal of Business and Economics, 2013, Vol. 12, No. 2, 155-170

16 Pages Posted: 14 Oct 2019

See all articles by Roger Su

Roger Su

Auckland University of Technology - Faculty of Business & Law

Ronghua Yi

China Jiliang University

Keith Hooper

Auckland University of Technology

Amitabh S. Dutta

Florida Institute of Technology

Date Written: 2013

Abstract

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.

Keywords: cross listing, Arbitrage, BHP Billiton, spill over

JEL Classification: G11, G14, G15

Suggested Citation

Su, Roger and Yi, Ronghua and Hooper, Keith and Dutta, Amitabh S., Information Spillover, Profit Opportunities, and Return Deviations Analysis: The Case of Cross-Listed BHP Billiton (2013). International Journal of Business and Economics, 2013, Vol. 12, No. 2, 155-170. Available at SSRN: https://ssrn.com/abstract=3463593

Roger Su (Contact Author)

Auckland University of Technology - Faculty of Business & Law ( email )

3 Wakefield Street
Private Bag 92006
Auckland Central 1020
New Zealand

Ronghua Yi

China Jiliang University

No. 258, Xueyuan Street
Hangzhou City
China

Keith Hooper

Auckland University of Technology ( email )

AUT City Campus
Private Bag 92006
Auckland, 1142
New Zealand

Amitabh S. Dutta

Florida Institute of Technology ( email )

Melbourne, FL 37901
United States
321-674-7347 (Phone)

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