I read an interesting article in the AFR last week, "Profit from a global arbitrage", (AFR 13-09-2006, p32). It described a technique for using dual listed company (DLC) call warrants to trade the spread between the two underlying stocks, listed on different exchanges but issued by the same company, when arbitrage opportunities emerge. They effectively allow you to trade the overseas listed shares in Australia, in the local time zone, in Australian dollars.
However when I looked into the liquidity of these warrants, they turned out to be extremely illiquid, and traded only on small trades with huge volumes (see ZBHWXA and ZBHWSA). So is this the domain only of institutional investors ? Sorry if this is a dumb question, it's just something that caught my interest, and I'm relatively new to derivatives. Are there other techniques for trading the spread between DLC's, which get around the time zone problem ?