Ericsson is currently dual listed in Stockholm in SEK, New York in USD, and Frankfurt in EUR. The SEK shares consist of A and B classes, while the USD and EUR listed shares are both equivalent to the SEK class B shares. This is a basic ADR structure traded through 3 currency pairs and 2 different class structures.
As evidenced in the first chart below, at the time of the recording, the USD-listed ERIC shares were equivalent in price to the SEK-listed ERIC.B shares. Note the ERCB shares correspond to the right axis and trade at a roughly 50% discount to USD shares. The Class A SEK-denominated ERIC.A shares trade at a discount to their own and USD-listed B Class equivalents.
This study incorporated the cash markets for the EUR/USD, EUR/SEK, and USD/SEK exchange rates. The principles of triangular arbitrage were incorporated to derive values across the structure.
As is usually the case for these studies, the outright share prices correspond to the left axis, while the spread value corresponds to the right axis.
A closer look at the turbulence in the bid/ask of the EUR-listed ERCB shares. I believe this is similar in nature to some of the research posted by Nanex.
And in the closing 5 minutes, the SEK-listed ERIC.B shares experience some unusual turbulence. I don't like to speculate because this could have happened for any number of reasons (data integrity, software integrity, etc.), but judging by the increase in the bid/ask spread of the ERCB shares (EUR-listed), the market maker appears to have known it was coming.
A closer look at the overall spreads during the 8:30-10:30am CST market overlap. Again, in order as before.
Further Reading:
ADR Market Timing: In Which Market Do Issuers Possess Better Market-Timing Ability and what is the Role of Regulations?
Impact of ADR Listing on the Trading Volume in the Domestic Market
As evidenced in the first chart below, at the time of the recording, the USD-listed ERIC shares were equivalent in price to the SEK-listed ERIC.B shares. Note the ERCB shares correspond to the right axis and trade at a roughly 50% discount to USD shares. The Class A SEK-denominated ERIC.A shares trade at a discount to their own and USD-listed B Class equivalents.
This study incorporated the cash markets for the EUR/USD, EUR/SEK, and USD/SEK exchange rates. The principles of triangular arbitrage were incorporated to derive values across the structure.
The Currency Adjusted USD-value Shares:
The US-listed shares register a bid/ask as early as 3am CST and track the SEK-listed B shares.
The Currency Adjusted Openings:
USD-listed shares vs. SEK-listed A and B Class shares.
EUR-listed B Class shares vs. USD-listed B Class shares.
EUR-listed B Class shares vs. SEK-listed A and B Class shares.
A closer look at the turbulence in the bid/ask of the EUR-listed ERCB shares. I believe this is similar in nature to some of the research posted by Nanex.
And in the closing 5 minutes, the SEK-listed ERIC.B shares experience some unusual turbulence. I don't like to speculate because this could have happened for any number of reasons (data integrity, software integrity, etc.), but judging by the increase in the bid/ask spread of the ERCB shares (EUR-listed), the market maker appears to have known it was coming.
USD-listed shares vs. SEK-listed A and B Class shares.
EUR-listed B Class shares vs. USD-listed B Class shares.
EUR-listed B Class shares vs. SEK-listed A and B Class shares.
Further Reading:
ADR Market Timing: In Which Market Do Issuers Possess Better Market-Timing Ability and what is the Role of Regulations?
Impact of ADR Listing on the Trading Volume in the Domestic Market
