کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10475179 | 929043 | 2005 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We analyze exchange rates along with equity quotes for 3 German firms from New York (NYSE) and Frankfurt (XETRA) during overlapping trading hours to see where price discovery occurs and how stock prices adjust to an exchange rate shock. Findings include: (a) the exchange rate is exogenous with respect to the stock prices; (b) exchange rate innovations are more important in understanding the evolution of NYSE prices than XETRA prices; and (c) most (but not all) of the fundamental or random walk component of firm value is determined in Frankfurt.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 12, Issue 1, January 2005, Pages 139-164
Journal: Journal of Empirical Finance - Volume 12, Issue 1, January 2005, Pages 139-164
نویسندگان
Joachim Grammig, Michael Melvin, Christian Schlag,