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Information processing on equity prices and exchange rate for cross-listed stocks

Cristina Mabel Scherrer

Journal of Financial Markets, 2021, vol. 54, issue C

Abstract: I propose a novel structural setting to investigate the dynamics of information processing on equity prices and the exchange rate for cross-listed stocks. Using high-frequency data on Brazilian cross-listed firms, I disentangle the effects on firm value of the exchange rate from the other determinants of a firm's cash flow. In general, the results suggest that the U.S. is faster than the home market and that there is a net positive relationship between the value of the domestic currency and the firm's value. This result is linked to the likely partially segmented market characteristic of the home market. Robustness checks confirm the results.

Keywords: Price discovery; High-frequency data; Structural VEC; Exchange rate (search for similar items in EconPapers)
JEL-codes: C32 F31 G12 G14 G15 G32 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:54:y:2021:i:c:s1386418121000161

DOI: 10.1016/j.finmar.2021.100634

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Journal of Financial Markets is currently edited by B. Lehmann, D. Seppi and A. Subrahmanyam

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