Switches in price discovery: Are U.S. traders more qualified in making valuations?
The North American Journal of Economics and Finance, 2018, vol. 44, issue C, 221-234
The literature on the price discovery of dually listed stocks postulates that domestic markets generally dominate in driving changes in prices and make a strong contribution to price discovery. In this study, we provide evidence challenging this view. We analyze a case of two dually listed mobile communication firms that experienced a more than 80% loss in their value in response to a regulatory decision to allow other new operators to enter the communication market in the domestic market. We find that during the negative momentum period, price discovery switched from the domestic to the foreign market, making the NYSE more important in terms of price discovery. Our findings suggest that, regardless of the origin of the news, such dramatic shocks that carry long-term implications are processed differently, with U.S. traders, rather than the domestic ones, being the main information processors.
Keywords: Cross listed stocks; Dually listed stocks; Price discovery; Causality (search for similar items in EconPapers)
JEL-codes: C22 C58 G15 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:44:y:2018:i:c:p:221-234
Access Statistics for this article
The North American Journal of Economics and Finance is currently edited by Hamid Beladi
More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().