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dc.contributor.advisorWilson, Craigen_US
dc.creatorLi, Zhenen_US
dc.date.accessioned2009-08-19T19:07:13Zen_US
dc.date.accessioned2013-01-04T04:53:34Z
dc.date.available2010-09-21T08:00:00Zen_US
dc.date.available2013-01-04T04:53:34Z
dc.date.created2009-08en_US
dc.date.issued2009-08en_US
dc.date.submittedAugust 2009en_US
dc.identifier.urihttp://hdl.handle.net/10388/etd-08192009-190713en_US
dc.description.abstractA cross-border listing occurs when an individual company establishes a secondary listing on a stock exchange abroad. In this paper, we analyze and compare the arbitrage proportions (through violation of put-call parity) of publicly traded cross-listed Canadian stocks, and those of industry and performance matched US domestically-listed shares. The cross-listed Canadian stocks are listed on both of the Toronto Stock Exchange (TSX) and either the New York Stock Exchange (NYSE) or the American Stock Exchange (AMEX). Arbitrage opportunities exist when put-call parity is violated. Our empirical results show that in most circumstances, both domestic put-call parity and cross-border put-call parity hold well in the two countries. However, in Canadian market, a high proportion of arbitrage op-portunities could be detected in closing prices on the particular date of March 14, 2007. On March 14th 2007, many of the observations in the Canadian market contained arbi-trage opportunities. Both domestic and cross-border put-call parity was violated. However, we fail to find the same phenomenon in the US market. In the US market, opportunities for arbitrage occur rarely and sporadically. We also find that the option trading volume in the Canadian market is lower than that in the US market, and during dramatic market price drops, the option trading volume remains at a low level.en_US
dc.language.isoen_USen_US
dc.subjectPut-call parityen_US
dc.subjectArbitrageen_US
dc.subjectDual-listingen_US
dc.subjectIntegrationen_US
dc.titleExamining arbitrage opportunities among Canadian cross-listed securities : evidence from stock and option marketsen_US
thesis.degree.departmentFinance and Management Scienceen_US
thesis.degree.disciplineFinance and Management Scienceen_US
thesis.degree.grantorUniversity of Saskatchewanen_US
thesis.degree.levelMastersen_US
thesis.degree.nameMaster of Science (M.Sc.)en_US
dc.type.materialtexten_US
dc.type.genreThesisen_US
dc.contributor.committeeMemberRacine, Marieen_US
dc.contributor.committeeMemberHuq, Mobinulen_US
dc.contributor.committeeMemberMamun, Abdullahen_US
dc.contributor.committeeMemberWu, Zhenyuen_US


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