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Price Discovery in the Cross Listed Stock Market: Revisiting the Case of Canadian Stocks Listed in the United States

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Price Discovery in the Cross Listed Stock Market: Revisiting the Case of Canadian Stocks Listed in the United States

Simone, Karina (2016) Price Discovery in the Cross Listed Stock Market: Revisiting the Case of Canadian Stocks Listed in the United States. Masters thesis, Concordia University.

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Abstract

This paper revisits studies conducted by Rosenthal and Young (1990) and Froot and Dabora (1999) that found prices of twin stocks to be mispriced and that this mispricing could be explained by the markets in which the shares are listed. Our study investigates whether these findings can be generalized to Canadian firms who cross-list in the US. Using a sample of 184 firms who cross-listed during the period 1975 – 2013, we also observe share mispricing that can be explained by the markets in which the shares are listed in, however it is not trading activity alone that determines the significance of this relationship. Furthermore, we observe a discrepancy in the co-movement of Canadian-listed shares and their US-listed counterparts with currency fluctuations, making this the most significant factor in explaining the mispricing observed in our sample of cross-listed firms.

Divisions:Concordia University > John Molson School of Business > Finance
Item Type:Thesis (Masters)
Authors:Simone, Karina
Institution:Concordia University
Degree Name:M. Sc.
Program:Administration (Finance option)
Date:May 2016
Thesis Supervisor(s):Ravi, Rahul
ID Code:981256
Deposited By: KARINA SIMONE
Deposited On:17 Jun 2016 14:15
Last Modified:18 Jan 2018 17:52
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