Cross-listing, price discovery and the informativeness of the trading process
- Climent Diranzo, Francisco José
- Pascual Gascó, Roberto
- Pascual Fuster, Bartolomé
Any de publicació: 2003
Número: 21
Tipus: Document de treball
Resum
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.