Cross-listing, price discovery and the informativeness of the trading process

Roberto Pascual, Bartolomé Pascual Fuste and Francisco Climent (f.jose.climent@uv.es)
Authors registered in the RePEc Author Service: Bartolomé Pascual-Fuster (tomeu.pascual@uib.es)

DEE - Working Papers. Business Economics. WB from Universidad Carlos III de Madrid. Departamento de Economía de la Empresa

Abstract: This paper analyzes the price discovery process of a set of Spanish stocks cross-listed at the NYSE. Our methodology distinguishes between two sources of information asymmetries. Market-specific information that is revealed through the trading process and public disclosures simultaneously revealed to both markets but subject to informed judgments. We compute the information share of the Spanish and U.S. trading activity during the daily 2-hour overlapping interval. Empirical results show that the NYSE contribution to the price discovery process is not negligible. But the NYSE information is basically trade-unrelated.

Date: 2001-10
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Cross-listing, price discovery and the informativeness of the trading process (2006)
Working Paper: CROSS-LISTING, PRICE DISCOVERY AND THE INFORMATIVENESS OF THE TRADING PROCESS (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wbrepe:wb014511

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