Question
. Select GSK from the JPMorgan website. Go to Yahoo Finance and download its daily share prices on the domestic (UK) and cross-listed (US) markets
. Select GSK from the JPMorgan website. Go to Yahoo Finance and download its daily share prices on the domestic (UK) and cross-listed (US) markets from January 2012 to December 2021. Calculate the price deviation for the home-US pair as: ln() (1) where is the ADRs price expressed in US dollars, and is the price of the home market also denominated in US dollars (after the adjustment of exchange rates). Plot and generate summary statistics for , and the price deviation over time and in different time periods. In addition, also consider in local currency (British pound). Critically analyze the price movement between the domestic market and cross-listed shares, and the RMIT Classification: Trusted effect of exchange rates. You may need to consider some additional statistics to support your analysis. (9 marks)
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