Price leadership and asynchronous movements of multi-market listed stocks

Krastina Dzhambova, Ran Tao and Yuan Yuan

International Review of Financial Analysis, 2022, vol. 79, issue C

Abstract: We examine the asynchronous price movements of the same assets traded on multiple markets, each of which has its unique characteristics. Differently from the existing literature, we use a dynamic structural Vector Autoregressive (VAR) setting to explore the effects of market-wide and idiosyncratic shocks on both home and host listings. We find strong evidence that foreign prices lead home prices, but not the reverse effect. Contrary to theory predictions, investors in the firms’ home market respond to idiosyncratic fluctuations in the stock returns in the host markets. Our results suggest that investors pay attention to fluctuations in the stocks listed on the more institutionally developed markets.

Keywords: Cross-listed stocks; Price leadership; Stock returns; American depositary receipts (ADR); Vector autoregressive (VAR) model; Granger causality (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521921002866
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:79:y:2022:i:c:s1057521921002866

DOI: 10.1016/j.irfa.2021.101970

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().