RT Generic
T1 Cross-listing, price discovery and the informativeness of the trading process
A1 Pascual, Roberto
A1 Pascual Fuste, Bartolomé
A1 Climent, Francisco
AB 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.
YR 2001
FD 2001-10
LK https://hdl.handle.net/10016/56
UL https://hdl.handle.net/10016/56
LA eng
DS e-Archivo
RD 20 may. 2024