Cross-listing, price discovery and the informativeness of the trading process

• Autores: Francisco José Climent Diranzo, Roberto Pascual Gascó, Bartolomé Pascual Fuster
• Localización: Working papers = Documentos de trabajo: Serie EC - (Instituto Valenciano de Investigaciones Económicas), Nº. 21, 2003, 37 págs.
• Idioma: inglés
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• Resumen

  • 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: 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 in the price discovery process of the Spanish cross-listed stocks during the daily two-hour overlapping interval.