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Global markets exposure and price efficiency: An empirical analysis of order flow dynamics of NYSE-listed Indian firms

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  • Kumar, Kiran
  • Mamidi, Varsha
  • Marisetty, Vijaya

Abstract

We examine the effect of global competition for order flows, which arise due to listing of American Depository Receipts (ADRs) by six Indian firms on the NYSE, on the local market. Using order imbalance data for six months pre- and post-listing periods, which captures order flow dynamics, we show that price formation is more efficient in the post-listing period compared to pre-listing period. We also provide additional evidence on the local market quality due to ADRs listing.

Suggested Citation

  • Kumar, Kiran & Mamidi, Varsha & Marisetty, Vijaya, 2011. "Global markets exposure and price efficiency: An empirical analysis of order flow dynamics of NYSE-listed Indian firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 686-706.
    • Handle: RePEc:eee:intfin:v:21:y:2011:i:5:p:686-706
    DOI: 10.1016/j.intfin.2011.04.004
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    2. Malvika Saraf & Parthajit Kayal, 2022. "How Much Does Volatility Influence Stock Market Returns? – Empirical Evidence from India," Working Papers 2022-215, Madras School of Economics,Chennai,India.

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