How important is the home market for cross - listed biotech companies?

Theodore Panagiotidis and Pavlos Tsiokas ()
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Pavlos Tsiokas: Department of Economics, University of Macedonia

Discussion Paper Series from Department of Economics, University of Macedonia

Abstract: This study investigates five German biotechnology firms cross-listed on XETRA and NASDAQ. By employing high-frequency data, we estimate both bivariate and trivariate vector error correction models—the latter explicitly accounting for exchange rate dynamics—to assess which market, domestic or U.S., leads in price discovery. The results suggest that XETRA plays a dominant role for larger firms, whereas smaller firms are more influenced by NASDAQ. Simulations show that bivariate models—common in the literature— yield biased results under volatile exchange rate conditions, whereas trivariate models produce more robust estimates. Finally, exchange rate shocks affect NASDAQ and XETRA differently.

Keywords: Cointegration; Impulse response functions. (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2025-04, Revised 2025-04
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Working Paper: How important is the home market for cross - listed biotech companies? (2025)
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Persistent link: https://EconPapers.repec.org/RePEc:mcd:mcddps:2025_04

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