Dual-Listing of Australian shares on the New Zealand stock market

Abstract

The present study investigates the impact of dual listing of Australian shares on the NZSE. The results suggest that the average excess return on the day of listing is negative but is statistically insignificant. The negative excess return starts to accumulate before the day of listing and becomes statistically significant several weeks after this date to the end of the period (day+ 150). These results are not significantly different between low liquidity and high liquidity sub-samples. The impact of dual listing on the volume of trade is negative and insignificant at the conventional statistical levels. The impact of dual listing on the volatility is positive and on the systematic risk and the cost of capital it is negative. However, the estimated changes of these coefficients are not statistically significant. In contrast to most of the previous findings, we can conclude that the New Zealand listings of Australian shares have no tangible financial benefits for the shareholders.