Price Discovery In The Cross Listed Stock Market PDF Download
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| Author | : Albert J. Menkveld |
| Publisher | : |
| Total Pages | : 33 |
| Release | : 2012 |
| Genre | : |
| ISBN | : |
Download Modeling Round-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods Book in PDF, ePub and Kindle
U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. market and, potentially, in both markets simultaneously. We develop a general methodology based on a state space model to study 24-hour price discovery in a multiple markets setting. As opposed to the standard variance ratio approach, this model deals naturally with (i) simultaneous quotes in an overlap, (ii) missing observations in a non-overlap, (iii) noise due to transitory microstructure effects, and (iv) contemporaneous correlation in returns due to market-wide factors. We apply our model to Dutch stocks, cross-listed in the U.S. Our findings suggest a minor role for the NYSE in price discovery for Dutch shares, in spite of its non-trivial and growing market share.
| Author | : Albert J. Menkveld |
| Publisher | : |
| Total Pages | : 30 |
| Release | : 2010 |
| Genre | : |
| ISBN | : |
Download Modelling Round-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods Book in PDF, ePub and Kindle
U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. market and, potentially, in both markets simultaneously. We develop a general methodology based on a state space model to study 24-hour price discovery in a multiple markets setting. As opposed to the standard variance ratio approach, this model deals naturally with (i) simultaneous quotes in an overlap, (ii) missing observations in a non-overlap, (iii) noise due to transitory microstructure effects, and (iv) contemporaneous correlation in returns due to market-wide factors. We provide an application of our model to Dutch-U.S. stocks. Our findings suggest a minor role for the NYSE in price discovery for Dutch shares, in spite of its non-trivial and growing market share. The results differ significantly from the variance ratio approach.
| Author | : Karina Kanouni Simone |
| Publisher | : |
| Total Pages | : 50 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
Download Price Discovery in the Cross Listed Stock Market Book in PDF, ePub and Kindle
This paper revisits studies conducted by Rosenthal and Young (1990) and Froot and Dabora (1999) that found prices of twin stocks to be mispriced and that this mispricing could be explained by the markets in which the shares are listed. Our study investigates whether these findings can be generalized to Canadian firms who cross-list in the US. Using a sample of 184 firms who cross-listed during the period 1975 – 2013, we also observe share mispricing that can be explained by the markets in which the shares are listed in, however it is not trading activity alone that determines the significance of this relationship. Furthermore, we observe a discrepancy in the co-movement of Canadian-listed shares and their US-listed counterparts with currency fluctuations, making this the most significant factor in explaining the mispricing observed in our sample of cross-listed firms.
| Author | : Vassilios G. Papavassiliou |
| Publisher | : |
| Total Pages | : |
| Release | : 2015 |
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Download Price Discovery and the Effects of Fragmentation on Market Quality Book in PDF, ePub and Kindle
Using a novel high-frequency data set, we examine the contribution of Greek trading to the price discovery process of a pair of Cypriot blue-chip, cross-listed stocks during overlapping trading hours. Additionally, we investigate the effects of market fragmentation on the home market's quality, as measured by microstructure-based liquidity measures. Contrary to earlier studies from other markets, our findings show that foreign stock exchanges can act as the leading contributors to price discovery and can concentrate the majority of trading activity and produce the lowest transaction costs. Our results also show that market fragmentation can lead to negative effects on market liquidity.
| Author | : Larry J. Lockwood |
| Publisher | : |
| Total Pages | : 53 |
| Release | : 2019 |
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| ISBN | : |
Download Price Discovery of Internationally Cross-Listed Stocks During the 2008 Financial Crisis Book in PDF, ePub and Kindle
Studies of cross-listings show home markets dominate price discovery and point to informational advantages of local investors. However, we show price discovery gravitates to markets with better order execution quality and find home markets do not dominate price discovery. Instead, price discovery is more evenly split, especially for emerging markets. The dominant market is determined by order execution as price discovery shifts 22% when order execution advantages reverse between home and foreign markets. Thus, markets with poor execution quality act more as satellite markets, adjusting to more liquid markets, and play a diminished informational role in the pricing of cross-listed stocks.
| Author | : Roberto Pascual |
| Publisher | : |
| Total Pages | : 34 |
| Release | : 2009 |
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Download Cross-Listing, Price Discovery and the Informativeness of the Trading Process Book in PDF, ePub and Kindle
This paper analyzes the price discovery process of securities that trade at multiple markets with trading sessions that totally or partially overlap. Building on Hasbrouck (1995) information share approach, we introduce a methodology that distinguishes two sources of information asymmetries between markets: traderelated 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 in the price discovery process of the Spanish cross-listed stocks during the daily two-hour overlapping interval.
| Author | : Joachim Grammig |
| Publisher | : |
| Total Pages | : 46 |
| Release | : 2004 |
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Download The Role of U.S. Trading in Pricing Internationally Cross-Listed Stocks Book in PDF, ePub and Kindle
Abstract: This paper addresses two issues: 1) where does price discovery occur for firms that are traded simultaneously in the U.S. and in their home markets and 2) what explains the differences across firms in the share of price discovery that occurs in the U.S? The answer to the first question is that the home market is typically where the majority of price discovery occurs, but there are significant exceptions to this rule and the nature of price discovery across international markets during the time of trading overlap is richer and more complex that previously realized. For the second question, the results provide strong support that liquidity is an important factor. For a particular firm, the greater the liquidity of U.S. trading relative to the home market, the greater the role for U.S. price discovery.
| Author | : Marc K. Chan |
| Publisher | : |
| Total Pages | : 29 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download Capital Account Liberalization and Dynamic Price Discovery Book in PDF, ePub and Kindle
We analyze the effects of a recent financial reform that enables cross-market investment between Hong Kong and Shanghai stock exchanges. Using a vector error-correction model, we find that the reform announcement considerably narrows the equilibrium level of price disparity and strengthens the price comovement of shares that are cross-listed in both markets. First, there is a substantial increase in the number of cross-listed firms with cointegrated share prices, and the estimated equilibrium relationship is in support of the relative law of one price. Second, our model predicts that the price disparity narrows by as much as 40 percent in equilibrium. Third, we find that both markets adjust in response to a disequilibrium in price disparity, leading to a sizable error-correction activity. The Shanghai market contributes to approximately two-thirds of the price discovery process. Competition and informativeness of trading affect the relative role of price discovery in each market.
| Author | : Sanjiv Sabherwal |
| Publisher | : |
| Total Pages | : |
| Release | : 2015 |
| Genre | : |
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Download Price Discovery for Cross-Listed Stocks Book in PDF, ePub and Kindle
We investigate price discovery for internationally traded stocks. For a sample of Canadian stocks cross-listed on the Toronto Stock Exchange (TSE) and the NYSE, we find that both markets contribute to price discovery. The U.S. share of price discovery ranges from 0.4 percent to 98.1 percent, and averages 36 percent. The U.S. contribution is directly related to the U.S. share of trading and to the ratio of proportions of informative trades on the NYSE and the TSE, and inversely related to the ratio of bid-ask spreads on the NYSE and the TSE. In response to a positive shock to the C$/US$ exchange rate, stock prices on the TSE rise, whereas those on the NYSE decline. The NYSE bears a much greater burden of adjusting to the exchange rate changes.
| Author | : Bart Frijns |
| Publisher | : |
| Total Pages | : 52 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
Download The Interactions Between Price Discovery, Liquidity and Algorithmic Trading for US-Canadian Cross-Listed Shares Book in PDF, ePub and Kindle
We analyze price discovery dynamics for Canadian companies cross-listed on the NYSE from January 2004 to January 2011. We employ a structural vector autoregression to assess the interactions between price discovery, liquidity and algorithmic trading activity. We observe that over time, the U.S. market is gaining dominance in terms of price discovery. Improvements in liquidity increase a market's contribution to price discovery, and vice versa. We find that algorithmic trading activity is negatively related to price discovery, indicating negative externalities of high-frequency trading. These results are robust to regulatory changes in the U.S. and fragmentation in the Canadian financial markets.
