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The graph shows a company's stock prices on two exchanges: New York Stock Exchange (NYSE) and Oslo Stock Exchange (OSE). Since these prices are denominated in different currencies, the NYSE price is converted from USD to NOK for direct comparability. The two time series track each other somewhat closely, but there is a nonnegligible gap between them, with the NYSE price being some 1%-20% (just eyeballing) below the OSE price.

What could explain this large of a gap? Are gaps of this size common among companies listed on multiple exchanges?

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Equinor is a cross listing which means the shares will be the same and it is the same legal entity. Prices should align in this case, unlike dual listings like Royal Dutch Shell (in the early 1980s, Royal Dutch was trading at a discount of approximately 30% relative to Shell).

However, you are looking at volatile time series at different times. The price you download (I assume, since you did not specify) is the closing price each day. There are a few hours difference between OSE close and NYSE change. Therefore, both the stock, as well as the exchange rate fluctuate and explain most of the difference between OSE and NYSE.

If you have access to Bloomberg, you can look at HVT to see intraday prices or download them via the API. To get the FX rates at specific times, it is best to use BFIX. If you naively convert the two series into NOK and plot it on Bloomberg you will also have a mismatch, albeit a lot less systematic than yours (in fact quite random and still small).

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For example, the naive exchange rate conversion (BBG used BGN, a generic 5pm New York time composite price and as default in my case) and using simply the closing price for both exchanges produces a fairly large difference of 1.4% on the 8th of may 2023. Looking at a trade time that matches, and converting with BFIX into NOK, the difference turns into 0.2%. Even if both markets are open, you need to be careful when simply looking at the values. It is likely that you do not have access to real time data unless you use a trading system (it costs money to have access to real time data).

Therefore, I suppose the persistent gap you see is mainly a data quality issue on your side.

There will be some spread due to market frictions (bid ask spreads etc) that prohibits arbitrage, which is why small deviations can still exists.

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  • $\begingroup$ Thank you for your answer! This is monthly data, so time zone differences only play a minor role. The estimated cointegrating vector is $(1,-0.9)$ (not allowing for a constant shift between the time series) which means a 10% discount on average at NYSE relative to OSE. This suggests major frictions that I find hard to explain, and hence I have posted this here. $\endgroup$ Sep 21, 2023 at 10:20
  • $\begingroup$ What would be different in your opinion with monthly data? If you use Bloomberg, it will still be the end of month, which is a single day data point, or do you use the average (in which case I would not be surprised if there is a big difference)? As I wrote, if you look at the exact time and the exchange rate (which is OTC and as such there is no single exact rate you can get) at this exact time, there is (almost) no difference. $\endgroup$
    – AKdemy
    Sep 21, 2023 at 10:41
  • $\begingroup$ Monthly returns are larger than daily returns, while the effect of the time zone difference is the same on absolute scale. Thus, while the effect may be considerable for daily data, it is less significant for monthly data, to the extent that it is negligible. (This can be measured empirically.) Also, why would average returns be more different than single-time-point returns? I expect the opposite. The former is the average of the latter. If the latter have small differences, the former will also have small differences (actually, even smaller, because there will be some cancelling out). $\endgroup$ Sep 21, 2023 at 11:17
  • $\begingroup$ I thought you are looking at prices, not returns? At the end of the day, try to get accurate time stamps and you will see there is almost no discrepancy. $\endgroup$
    – AKdemy
    Sep 21, 2023 at 11:45
  • $\begingroup$ Yes, these are prices, but there is a one-to-one relationship between prices and returns (given the initial price level). Anyway, it seems I am not getting my point across. The discrepancies are way too large to ascribe them to time zone differences. Contemporaneous prices differ substantially on the two exchanges. (However, the trading hours between NYSE and OSE overlap for only 30 minutes a day.) I am puzzled by that and I am seeking an explanation. $\endgroup$ Sep 21, 2023 at 12:59

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