Round The Clock Price Discovery For Cross Listed Stocks PDF Download
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| 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 | : 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 Jan Menkveld |
| Publisher | : |
| Total Pages | : 38 |
| Release | : 2003 |
| Genre | : |
| ISBN | : |
Download Round-the-clock Price Discovery for Cross-listed Stocks Book in PDF, ePub and Kindle
| Author | : A. J. Menkveld |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2003 |
| Genre | : |
| ISBN | : |
Download Round-the-clock Price Discovery for Cross-listed Stock Book in PDF, ePub and Kindle
| Author | : Allan W. Kleidon |
| Publisher | : |
| Total Pages | : 62 |
| Release | : 1993 |
| Genre | : Economics |
| ISBN | : |
Download Round-the-clock Trading Book in PDF, ePub and Kindle
This paper uses transactions data from the London Stock Exchange to characterize the intraday pattern of security prices and trading volume for securities trading on SEAQ. It focuses in more detail on a sample of U.K. firms that are cross-listed on the NYSE. Using additional data from the NYSE-AMEX (I5SM), we compare volatility, volume, and quotes as trading starts in London and then continues in New York. These firms have substantially longer trading hours than most singly-listed stocks, and are also traded in two markets with very different institutional setups. This is shown to have several important implications for theories on intraday behavior of prices, the organization of exchanges, and the general consequences of round-the-clock trading.
| Author | : Joachim Grammig |
| Publisher | : |
| Total Pages | : 46 |
| Release | : 2004 |
| Genre | : |
| ISBN | : |
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 | : Roberto Pascual |
| Publisher | : |
| Total Pages | : 34 |
| Release | : 2009 |
| Genre | : |
| ISBN | : |
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 | : Larry J. Lockwood |
| Publisher | : |
| Total Pages | : 53 |
| Release | : 2019 |
| Genre | : |
| 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 | : Vassilios G. Papavassiliou |
| Publisher | : |
| Total Pages | : |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
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 | : H. Kent Baker |
| Publisher | : John Wiley & Sons |
| Total Pages | : 758 |
| Release | : 2013-07-31 |
| Genre | : Business & Economics |
| ISBN | : 1118421485 |
Download Market Microstructure in Emerging and Developed Markets Book in PDF, ePub and Kindle
A comprehensive guide to the dynamic area of finance known as market microstructure Interest in market microstructure has grown dramatically in recent years due largely in part to the rapid transformation of the financial market environment by technology, regulation, and globalization. Looking at market transactions at the most granular level—and taking into account market structure, price discovery, information flows, transaction costs, and the trading process—market microstructure also forms the basis of high-frequency trading strategies that can help professional investors generate profits and/or execute optimal transactions. Part of the Robert W. Kolb Series in Finance, Market Microstructure skillfully puts this discipline in perspective and examines how the working processes of markets impact transaction costs, prices, quotes, volume, and trading behavior. Along the way, it offers valuable insights on how specific features of the trading process like the existence of intermediaries or the environment in which trading takes place affect the price formation process. Explore issues including market structure and design, transaction costs, information flows, and disclosure Addresses market microstructure in emerging markets Covers the legal and regulatory issues impacting this area of finance Contains contributions from both experienced financial professionals and respected academics in this field If you're looking to gain a firm understanding of market microstructure, this book is the best place to start.
