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

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dc.contributor.author Pascual, Roberto
dc.contributor.author Pascual Fuste, Bartolomé
dc.contributor.author Climent, Francisco
dc.date.accessioned 2006-11-07T09:16:23Z
dc.date.available 2006-11-07T09:16:23Z
dc.date.issued 2001-10
dc.identifier.uri http://hdl.handle.net/10016/56
dc.description.abstract 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.
dc.format.extent 119810 bytes
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Papers. Bussiness Economics
dc.relation.ispartofseries 2001-11
dc.title Cross-listing, price discovery and the informativeness of the trading process
dc.type workingPaper
dc.subject.eciencia Empresa
dc.rights.accessRights openAccess
dc.identifier.repec wb014511
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