RDP 2004-06: The Characteristics and Trading Behaviour of Dual-Listed Companies 4. Data

In this section, we briefly outline the sources of data used in the empirical tests in the remainder of the paper. We calculate returns for the various companies involved in the tests using price and dividend data from Datastream or Bloomberg. Data for market indices were obtained from Datastream and include series for the Australian ASX 100, Belgian BEL 20, Dutch AEX, Finnish HEX 25, French CAC 40, Swedish OMX, Swiss SPI, UK FTSE 100, and US S&P 500. Returns for individual stocks and market indices were calculated in log-differenced form.

Exchange rate data for the Anglo-Australian DLCs are log changes based on Sydney closing rates from Bloomberg while exchange rate changes for all other DLCs are based on London closing rates from Datastream.