Market Efficiency and Arbitrage Opportunities for Russian Depositary Receipts Cross-Listed on the London Stock Exchange

• Published in: Review of Pacific basin financial markets and policies Vol. 19; no. 2; p. 1
• Main Author: Kim, Oksana
• Format: Journal Article
• Language: English
• Published: Singapore World Scientific Publishing Co. Pte., Ltd 01.06.2016
• Subjects: Arbitrage; Efficient markets; Global depositary receipts; Institutional investments; London Stock Exchange; Russia; Securities markets; Stock exchanges; Studies; United Kingdom; United Kingdom > UK; Russia

This study examines the Russian stock market efficiency from two perspectives. First, we document that for the sample of Russian firms cross-listed on the Main Market of the London Stock Exchange (LSE) as Global Depositary Receipts (GDRs), the return series obtained from both the local market and th...