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International Transfer Of Pricing Information Between Dually Listed Stocks

Author

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  • Shmuel Hauser
  • Yael Tanchuma
  • Uzi Yaari

Abstract

International multiple listing offers a unique opportunity to study the efficiency of information transmission across national markets. The knowledge gained from observing a stock of the same company priced in multiple markets differs from what may be gained from observing relations across markets of aggregate price indices. We investigate five companies based in Israel whose stocks are listed on both the Tel Aviv Stock Exchange and NASDAQ. Our empirical tests of causality in price changes use the side-by-side Box-Jenkins ARIMA models and the Sims VAR model. Overall, the results show that price causality in dually listed stocks is unidirectional from the domestic market to the foreign market.

Suggested Citation

  • Shmuel Hauser & Yael Tanchuma & Uzi Yaari, 1998. "International Transfer Of Pricing Information Between Dually Listed Stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(2), pages 139-157, June.
  • Handle: RePEc:bla:jfnres:v:21:y:1998:i:2:p:139-157
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1998.tb00677.x
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    References listed on IDEAS

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    1. repec:eee:ecofin:v:44:y:2018:i:c:p:221-234 is not listed on IDEAS
    2. repec:eee:riibaf:v:42:y:2017:i:c:p:1040-1056 is not listed on IDEAS
    3. repec:bla:sajeco:v:84:y:2016:i:4:p:636-653 is not listed on IDEAS
    4. Partha Ray & Vinodh Madhavan, 2014. "Price and Volatility Linkages between Indian Stocks and their European GDRs," Proceedings of International Academic Conferences 0300812, International Institute of Social and Economic Sciences.
    5. Richard Podpiera, 2001. "International Cross-Listing: The Effects of Market Fragmentation and Information Flows," Finance 0106002, University Library of Munich, Germany.

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