 Price Interactions in a Sequential Global Market: Evidence from the Cross‐listed StocksCheol S. Eun and Hoyoon Jang European Financial Management, 1997, vol. 3, issue 2, 209-235 Abstract: In this paper, we investigate the pattern of dynamic interactions among the prices of those stocks that are cross‐listed on the three major stock markets of the world, i.e. New York, London and Tokyo. Major findings are: first, regardless of the nationality of stocks, innovations in the ‘home’ market returns are always fed into the returns in the ‘overseas’ markets, with the former causing the latter in the Granger sense. However, innovations in the New York market returns of foreign stocks are fed back into their respective home markets, contributing to the price discovery there. Second, the ‘succeeding’ overseas market, which operates immediately after the home market, plays a dual‐role: it conducts the home market innovations to the next‐opening overseas market, as well as adds its own innovations. Third, the exchange rate changes substantially influence the overseas market returns, but not the home market returns. The exchange rates appear to play a role in the transmission mechanism mainly via the inter‐market price parity. Date: 1997 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bla:eufman:v:3:y:1997:i:2:p:209-235 Ordering information: This journal article can be ordered from Access Statistics for this article European Financial Management is currently edited by John Doukas More articles in European Financial Management from European Financial Management Association Contact information at EDIRC. |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.