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

Simple item page
dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorPascual, Robertoes
dc.contributor.authorPascual Fuste, Bartolomées
dc.contributor.authorCliment, Franciscoes
dc.date.accessioned2006-11-07T09:16:23Z
dc.date.available2006-11-07T09:16:23Z
dc.date.issued2001-10es
dc.description.abstractThis 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.es
dc.format.extent119810 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.repecwb014511
dc.identifier.urihttps://hdl.handle.net/10016/56
dc.language.isoenges
dc.relation.ispartofseriesUC3M Working Papers. Bussiness Economicses
dc.relation.ispartofseries2001-11es
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.titleCross-listing, price discovery and the informativeness of the trading processes
dc.typeworking paper*
dspace.entity.typePublication
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
wb014511.pdf
Size:
117 KB
Format:
Adobe Portable Document Format
Download
Collections
DEE - Working Papers. Business Economics. WB