I was thinking about running a historical analysis using a system worked off of price changes in the australian stocks that are traded over the ADR in New York. I noticed on National Online around 9am every morning there is a list of the changes in these stocks over night. Example, AGG yesterday morning was up 4% on the adr and yesterday put on 1.7% on the ASX.

I was thinking I'd run back through with just one basic parameter. That the change has to be over 2%. Then I'd see how these changes correlate with changes on the ASX.

Anyone else ever looked at this?