Price discovery of cross-listed firms

Imen Ghadhab and Slaheddine Hellara

International Review of Financial Analysis, 2016, vol. 44, issue C, 177-188

Abstract: This paper examines the contribution of cross-listing to price discovery for a unique and comprehensive sample of firms listed abroad. Using an extended measure of the common factor weight, we find that foreign market contribution to price discovery is more important for multiple-listed firms compared to cross-listed ones. Our results also show that US exchanges are more conductive to price discovery than do foreign European markets. On a univariate regression, we find new evidence that order driven markets and those which are more integrated with the world contribute significantly to price discovery of stocks listed abroad. On a multivariate regression, information asymmetry measures seem to have the most important effect on foreign market contribution to price determination.

Keywords: Cross-listing; Price discovery; Error correction model; information asymmetry (search for similar items in EconPapers)
JEL-codes: G10 G15 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:44:y:2016:i:c:p:177-188

DOI: 10.1016/j.irfa.2016.01.017

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