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Cross-listing of Swedish stocks in London and New York

Avdic, Lana and Resulovic, Emina (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)
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author
Avdic, Lana and Resulovic, Emina
supervisor
organization
year
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
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},
  keyword      = {Cross-listing,market integration,market fragmentation,information linkages,volatility,liquidity,Management of enterprises,Företagsledning, management},
  language     = {swe},
  note         = {Student Paper},
  title        = {Cross-listing of Swedish stocks in London and New York},
  year         = {2006},
}