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Price Discovery of Tokyo-New York Cross-listed Stocks

Yoichi Otsubo ()

LSF Research Working Paper Series from Luxembourg School of Finance, University of Luxembourg

Abstract: 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)
Date: 2012
New Economics Papers: this item is included in nep-fmk and nep-mst
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