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

Listed author(s):
  • Climent, Francisco
  • Pascual Fuste, Bartolomé
  • Pascual, Roberto

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.

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File URL: http://e-archivo.uc3m.es/bitstream/handle/10016/56/wb014511.pdf?sequence=1
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Paper provided by Universidad Carlos III de Madrid. Departamento de Economía de la Empresa in its series DEE - Working Papers. Business Economics. WB with number wb014511.

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Date of creation: Oct 2001
Handle: RePEc:cte:wbrepe:wb014511
Contact details of provider: Web page: http://www.business.uc3m.es/es/index

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