Price Discovery of Tokyo-New York Cross-listed Stocks
Yoichi Otsubo ()
LSF Research Working Paper Series from Luxembourg School of Finance, University of Luxembourg
This study examines price discovery of Japanese companies Tokyo-New York cross-listed shares. Kalman ?filter is utilized to estimate partial price adjustment model. By employing Kalman filter, the present research can deal with problem researchers has to confront in order to analyze nonoverlapping markets such as Tokyo and New York with Hasbrouck s information share or Gonzalo-Granger portfolio weights. By modifying the partial price adjustment model to allow different variance on information shock for each market s opening hours, we find that the magnitude of the shocks are larger during Tokyo opening hours. Dynamic measure suggested by Yan and Zivot (2006) shows that NYSE is more efficient in price discovery. "Keywords:"" information shares; international cross-listing; market microstructure; price discovery;"""
JEL-codes: G14 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk and nep-mst
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://wwwen.uni.lu/content/download/53129/634573/ ... tocks_2012%20(5).pdf (application/pdf)
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:crf:wpaper:12-5
Access Statistics for this paper
More papers in LSF Research Working Paper Series from Luxembourg School of Finance, University of Luxembourg Contact information at EDIRC.
Bibliographic data for series maintained by Martine Zenner ( this e-mail address is bad, please contact ).