by cross listed you mean like ASX and CHI-X? If so, I believe so because generally they can be cross-traded (as in they have a pool of shares which can be traded on both markets from several brokerages, i.e. commsec places your buy/sell in both CHI-X and ASX I believe).
If you mean like TSX and ASX, then I don't believe so. Thats not to say that Company X cannot have shorts in both ASX and TSX markets simultaneously, leading to similar behavior in both. I just mean in 99% of cases you cannot borrow stock on the TSX, sell it, wait for price to drop and rebuy ASX stock.
The only case in which that would be plausible is if you borrowed from a corporation that was happy to allow that in the contract, ofcourse making adjustments for the different ratio of shares in the TSX to ASX for the particular company.
I've never heard of shorting contracts like that but I'm far from the expert and stranger things have happened.
Just as an example, NRT is worth 16.5c over here when its worth $4.03 on the nasdaq (code:NVGN). There is a ratio of 25:1 of ASX stock to Nasdaq stock for contributing market cap. With these prices though, the actual ratio is 24.4 so if you believe these markets will equalise today, you could short NRT for the 0.5c differential which would bring the ratio to 25.1..
Not a profitable trade but often bigger differences are seen between stocks that take 1-2 hours to equalise on the market, thus providing opportunities.
