CROSS-LISTING, PRICE DISCOVERY AND THE INFORMATIVENESS OF THE TRADING PROCESS

Bartolomé Pascual-Fuster (), Francisco Climent () and Roberto Pascual

Working Papers. Serie EC from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Abstract: This paper analyzes the price discovery process of securities that trade at multiple markets with trading sessions that totally or partially overlap. Building on Hasbrouck (1995) information share approach, we introduce a methodology that distinguishes two sources of information asymmetries between markets: trade-related and trade-unrelated informative shocks. This approach determines how much of each market?s relative contribution to the price discovery process during the overlapping period is attributable to its own trading activity. We provide empirical evidence on the contribution of the NYSE in the price discovery process of the Spanish cross-listed stocks during the daily two-hour overlapping interval. Este trabajo analiza el proceso de formación del precio de acciones negociadasen varios mercados con sesiones de negociación total o parcialmente solapadas. A partirdel modelo propuesto por Hasbrouck (1995), introducimos una metodología quedistingue dos fuentes de asimetría de información entre los mercados: la inferida a partirde la negociación de cada mercado e información ajena a la negociación. El objetivo esdeterminar en qué medida la contribución relativa de cada mercado al proceso deformación del precio durante el período de solapamiento es relevante y que parte de estaes atribuible a su propia actividad de negociación. Se obtiene evidencia empírica de lacontribución del NYSE en el proceso de formación del precio de las acciones españolasdurante el intervalo de dos horas de solapamiento diario.

Keywords: Negociación en varios mercados; Formación del precio; Shocks de negociación; ADRs Cross-listing; price discovery; trade shocks; ADRs. (search for similar items in EconPapers)
Pages: 37 pages
Date: 2003-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

Published by Ivie

Downloads: (external link)
http://www.ivie.es/downloads/docs/wpasec/wpasec-2003-21.pdf Fisrt version / Primera version, 2003 (application/pdf)

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 (2001)
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:ivi:wpasec:2003-21

Access Statistics for this paper

More papers in Working Papers. Serie EC from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Contact information at EDIRC.
Bibliographic data for series maintained by Departamento de Edición ().