This paper shows stock exchange trading rules are of central importance for the trading location of cross-listed stocks. We also consider various measures of sovereign governance and shareholder rights across countries to assess the complementary effects of other legal and institutional drivers...

With the intention of maximizing an investor's terminal utility, we construct a non-threshold ased trading model within which the optimal trading weights for daily rebalancing are derived analytically via stochastic optimal control. Having released the constraint that the cointegrating vector is...