کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960974 | 929764 | 2006 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Cross-listing, price discovery and the informativeness of the trading process
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper analyzes the price discovery process of securities that trade on multiple markets with trading sessions that totally or partially overlap. Building on Hasbrouck's (1995) information share approach, we introduce a methodology that distinguishes two sources of information asymmetries between markets: trade-related and trade-unrelated informative shocks. This approach determines how much of each market's relative contribution to the price discovery process (during the overlapping period) is attributable to its own trading activity. We provide empirical evidence on the contribution of the NYSE to the price discovery process of Spanish cross-listed stocks during the daily (two-hour) overlapping interval.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 9, Issue 2, May 2006, Pages 144-161
Journal: Journal of Financial Markets - Volume 9, Issue 2, May 2006, Pages 144-161
نویسندگان
Roberto Pascual, Bartolomé Pascual-Fuster, Francisco Climent,