Cross-listing of Swedish stocks in London and New York
(2006)Department of Business Administration
- Abstract
- In this study we seek to examine whether the Swedish firms on SSE with a cross-listing in London or New York exhibit any differences in volatility and liquidity after the listing date. Based on this, we further make an inference regarding the presence of integration between these markets. When examining volatility and liquidity individually, we find no general change in the former but we find a general increase in the latter for the investigated stocks. This implies there is some order inflow to the Stockholm stock exchange after the listing in London or New York and that information is freely available between these markets. Further, when jointly testing for changes in volatility and liquidity in a multivariate analysis we intend to... (More)
- In this study we seek to examine whether the Swedish firms on SSE with a cross-listing in London or New York exhibit any differences in volatility and liquidity after the listing date. Based on this, we further make an inference regarding the presence of integration between these markets. When examining volatility and liquidity individually, we find no general change in the former but we find a general increase in the latter for the investigated stocks. This implies there is some order inflow to the Stockholm stock exchange after the listing in London or New York and that information is freely available between these markets. Further, when jointly testing for changes in volatility and liquidity in a multivariate analysis we intend to capture the relationship between these two variables. The insufficient number of significant coefficients of these variables prohibits us from making generalizations concerning the Swedish stock market as a whole. Therefore we can not, with statistical significance, conclude whether the Swedish market is integrated with London and New York and whether information is freely available between these markets. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/2171843
- author
- Avdic, Lana and Resulovic, Emina
- supervisor
- organization
- year
- 2006
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Cross-listing, market integration, market fragmentation, information linkages, volatility, liquidity, Management of enterprises, Företagsledning, management
- language
- Swedish
- id
- 2171843
- date added to LUP
- 2006-11-10 00:00:00
- date last changed
- 2012-04-02 16:17:20
@misc{2171843,
abstract = {{In this study we seek to examine whether the Swedish firms on SSE with a cross-listing in London or New York exhibit any differences in volatility and liquidity after the listing date. Based on this, we further make an inference regarding the presence of integration between these markets. When examining volatility and liquidity individually, we find no general change in the former but we find a general increase in the latter for the investigated stocks. This implies there is some order inflow to the Stockholm stock exchange after the listing in London or New York and that information is freely available between these markets. Further, when jointly testing for changes in volatility and liquidity in a multivariate analysis we intend to capture the relationship between these two variables. The insufficient number of significant coefficients of these variables prohibits us from making generalizations concerning the Swedish stock market as a whole. Therefore we can not, with statistical significance, conclude whether the Swedish market is integrated with London and New York and whether information is freely available between these markets.}},
author = {{Avdic, Lana and Resulovic, Emina}},
language = {{swe}},
note = {{Student Paper}},
title = {{Cross-listing of Swedish stocks in London and New York}},
year = {{2006}},
}