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
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Cross-listing, price discovery and the informativeness of the trading process
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
نویسندگان
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