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Citations for "Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects"

by Grammig, Joachim & Melvin, Michael & Schlag, Christian

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  1. Piotr Korczak & Kate Phylaktis, 2009. "Related Securities, Allocation of Attention and Price Discovery: Evidence from NYSE-Listed Non-U.S. Stocks," Bristol Economics Discussion Papers 09/612, Department of Economics, University of Bristol, UK.
  2. Marcelo Fernandes & Cristina M. Scherrer, 2014. "Price discovery in dual-class shares across multiple markets," CREATES Research Papers 2014-10, Department of Economics and Business Economics, Aarhus University.
  3. Ende, Bartholomäus & Lutat, Marco, 2010. "Trade-throughs in European cross-traded equities after transaction costs: Empirical evidence for the EURO STOXX 50," CFS Working Paper Series 2010/15, Center for Financial Studies (CFS).
  4. Oksana Kim, 2016. "Market Efficiency and Arbitrage Opportunities for Russian Depositary Receipts Cross-Listed on the London Stock Exchange," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 01-36.
  5. Senteney, David L. & Bazaz, Mohammad S. & Senteney, Michael H., 2016. "Cross-market information transfers of ADR firms: An investigation of emerging market economies," Research in International Business and Finance, Elsevier, vol. 37(C), pages 655-677.
  6. Song Li & Mervyn J. Silvapulle & Param Silvapulle & Xibin Zhang, 2012. "Bayesian Approaches to Non-parametric Estimation of Densities on the Unit Interval," Monash Econometrics and Business Statistics Working Papers 3/12, Monash University, Department of Econometrics and Business Statistics.
  7. Gagnon, Louis & Karolyi, G. Andrew, 2004. "Multi-market Trading and Arbitrage," Working Paper Series 2004-9, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  8. Claessens, Stijn & Klingebiel, Daniela & Schmukler, Sergio L., 2006. "Stock market development and internationalization: Do economic fundamentals spur both similarly?," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 316-350, June.
  9. Gagnon, Louis & Karolyi, G. Andrew, 2009. "Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(04), pages 953-986, August.
  10. Su, Qian & Chong, Terence Tai-Leung, 2007. "Determining the contributions to price discovery for Chinese cross-listed stocks," Pacific-Basin Finance Journal, Elsevier, vol. 15(2), pages 140-153, April.
  11. Alma Hales, 2015. "Liquidity and price discovery in Latin America: evidence from American depositary receipts," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(4), pages 661-678, October.
  12. Laih, Yih-Wenn & Lai, Hung-Neng & Li, Chun-An, 2015. "Analyst valuation and corporate value discovery," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 235-248.
  13. Juan Carlos Cuestas & Bo Tang, 2015. "Exchange Rate Changes and Stock Returns in China: A Markov Switching SVAR Approach," Working Papers 2015024, The University of Sheffield, Department of Economics.
  14. Eichler, Stefan, 2011. "Exchange rate expectations and the pricing of Chinese cross-listed stocks," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 443-455, February.
  15. Pascual-Fuster, Bartolome & Perez-Rodriguez, Jorge V., 2007. "Volatility transmission for cross-listed firms and the role of international exposure," Japan and the World Economy, Elsevier, vol. 19(3), pages 303-328, August.
  16. Lulu Gu & W. Robert Reed, 2011. "One For All or All For One? Using Multiple-listing Information in Event Studies," Working Papers in Economics 11/33, University of Canterbury, Department of Economics and Finance.
  17. Wang, Jianxin & Yang, Minxian, 2011. "Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets," Journal of Financial Markets, Elsevier, vol. 14(1), pages 82-108, February.
  18. Frijns, Bart & Schotman, Peter, 2009. "Price discovery in tick time," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 759-776, December.
  19. Marcio Garcia & Marcelo Medeiros & Francisco Santos, 2014. "Price Discovery in Brazilian FX Markets," Textos para discussão 622, Department of Economics PUC-Rio (Brazil).
  20. Kehrle, Kerstin & Peter, Franziska J., 2013. "Who moves first? An intensity-based measure for information flows across stock exchanges," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1629-1642.
  21. Korczak, Piotr & Phylaktis, Kate, 2010. "Related securities and price discovery: Evidence from NYSE-listed Non-U.S. stocks," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 566-584, September.
  22. Kao, Chung-Wei & Wan, Jer-Yuh, 2012. "Price discount, inventories and the distortion of WTI benchmark," Energy Economics, Elsevier, vol. 34(1), pages 117-124.
  23. Kao, Chung-Wei & Wan, Jer-Yuh, 2009. "Information transmission and market interactions across the Atlantic -- an empirical study on the natural gas market," Energy Economics, Elsevier, vol. 31(1), pages 152-161, January.
  24. repec:wyi:journl:002166 is not listed on IDEAS
  25. Grammig, Joachim G. & Peter, Franziska J., 2008. "International price discovery in the presence of market microstructure effects," CFR Working Papers 08-10, University of Cologne, Centre for Financial Research (CFR).
  26. Moulton, Pamela C. & Wei, Li, 2009. "A tale of two time zones: The impact of substitutes on cross-listed stock liquidity," Journal of Financial Markets, Elsevier, vol. 12(4), pages 570-591, November.
  27. Wan, Jer-Yuh & Kao, Chung-Wei, 2009. "Price discovery in Taiwan's foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 77-93, February.
  28. repec:onb:oenbwp:y::i:111:b:1 is not listed on IDEAS
  29. Li, Huimin & Zheng, Dazhi & Chen, Jun, 2014. "Effectiveness, cause and impact of price limit—Evidence from China's cross-listed stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 217-241.
  30. Ghadhab, Imen & Hellara, Slaheddine, 2016. "Price discovery of cross-listed firms," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 177-188.
  31. Frijns, Bart & Gilbert, Aaron & Tourani-Rad, Alireza, 2010. "The dynamics of price discovery for cross-listed shares: Evidence from Australia and New Zealand," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 498-508, March.
  32. Bartolomé Pascual-Fuster & Francisco Climent & Roberto Pascual, 2003. "Cross-Listing, Price Discovery And The Informativeness Of The Trading Process," Working Papers. Serie EC 2003-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  33. Chris D'Souza, 2007. "Where Does Price Discovery Occur in FX Markets?," Staff Working Papers 07-52, Bank of Canada.
  34. Alhaj-Yaseen, Yaseen S. & Lam, Eddery & Barkoulas, John T., 2014. "Price discovery for cross-listed firms with foreign IPOs," International Review of Financial Analysis, Elsevier, vol. 31(C), pages 80-87.
  35. Gagnon, Louis & Karolyi, G. Andrew, 2006. "Price and Volatility Transmission across Borders," Working Paper Series 2006-5, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  36. Alsayed, Hamad & McGroarty, Frank, 2012. "Arbitrage and the Law of One Price in the market for American depository receipts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1258-1276.
  37. Markus Baltzer, 2006. "European Financial Market Integration in the Gründerboom and Gründerkrach: Evidence from European Cross-Listings," Working Papers 111, Oesterreichische Nationalbank (Austrian Central Bank).
  38. Kaul, Aditya & Mehrotra, Vikas, 2007. "The role of trades in price convergence: A study of dual-listed Canadian stocks," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 196-219, March.
  39. Wang, Ming-Chieh, 2013. "Is there a reversal in the price discovery process under different market conditions? Evidence from Korean ADRs and their underlying foreign securities," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1160-1174.
  40. Ghadhab, Imen & Hellara, Slaheddine, 2016. "Cross-listing and value creation," Journal of Multinational Financial Management, Elsevier, vol. 37, pages 1-11.
  41. Chen, Haiqiang & Choi, Paul Moon Sub & Hong, Yongmiao, 2013. "How smooth is price discovery? Evidence from cross-listed stock trading," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 668-699.
  42. Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza, 2015. "Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 35-48.
  43. Kao, Erin H. & Ho, Tsung-wu & Fung, Hung-Gay, 2015. "Price linkage between the US and Japanese futures across different time zones: An analysis of the minute-by-minute data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 321-336.
  44. Gu, Lulu & Reed, W. Robert, 2013. "Information asymmetry, market segmentation, and cross-listing: Implications for event study methodology," Journal of Asian Economics, Elsevier, vol. 28(C), pages 28-40.
  45. Chan, Justin S.P. & Hong, Dong & Subrahmanyam, Marti G., 2008. "A tale of two prices: Liquidity and asset prices in multiple markets," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 947-960, June.
  46. Helmut Herwartz, 2006. "Econometric analysis of high frequency data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 89-104, March.
  47. Dimpfl, Thomas, 2014. "A note on cointegration of international stock market indices," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 10-16.
  48. Chen, Haiqiang & Choi, "Paul" Moon Sub & Kim, Hyunseob, 2008. "American depositary receipts: Asia-Pacific evidence on convergence and dynamics," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 346-368, October.
  49. Yan, Bingcheng & Zivot, Eric, 2010. "A structural analysis of price discovery measures," Journal of Financial Markets, Elsevier, vol. 13(1), pages 1-19, February.
  50. Frijns, Bart & Gilbert, Aaron & Tourani-Rad, Alireza, 2015. "The determinants of price discovery: Evidence from US-Canadian cross-listed shares," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 457-468.
  51. Bingcheng Yan & Eric Zivot, 2007. "A Structural Analysis of Price Discovery Measures," Working Papers UWEC-2006-08-FC, University of Washington, Department of Economics, revised Apr 2007.
  52. Arquette, Gregory C. & Brown Jr., William O. & Burdekin, Richard C.K., 2008. "US ADR and Hong Kong H-share discounts of Shanghai-listed firms," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1916-1927, September.
  53. Chen, Haiqiang & Choi, Paul Moon Sub, 2012. "Does information vault Niagara Falls? Cross-listed trading in New York and Toronto," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 175-199.
  54. Gustavo Fruet Dias & Marcelo Fernandes & Cristina M. Scherrer, 2016. "Improving on daily measures of price discovery," CREATES Research Papers 2016-25, Department of Economics and Business Economics, Aarhus University.
  55. Flad, Michael & Jung, Robert C., 2008. "A common factor analysis for the US and the German stock markets during overlapping trading hours," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 498-512, December.
  56. Turnbull, D. Alasdair S. & White, Robert W. & Smith, Brian F., 2010. "In search of liquidity: The block broker's choice of where to trade cross-listed stocks," Journal of Economics and Business, Elsevier, vol. 62(1), pages 20-34, January.
  57. Chong, Terence Tai-Leung & Wong, Ying-Chiu & Yan, Isabel Kit-Ming, 2008. "International linkages of the Japanese stock market," Japan and the World Economy, Elsevier, vol. 20(4), pages 601-621, December.
  58. Lok, Emily & Kalev, Petko S., 2006. "The intraday price behaviour of Australian and New Zealand cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 377-397.
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