Internationally Cross-listed Stock Prices During Overlapping Trading Hours : Price Discovery and Exchange Rate Effects PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Internationally Cross-listed Stock Prices During Overlapping Trading Hours : Price Discovery and Exchange Rate Effects PDF full book. Access full book title Internationally Cross-listed Stock Prices During Overlapping Trading Hours : Price Discovery and Exchange Rate Effects by Joachim Grammig. Download full books in PDF and EPUB format.
Author: Joachim Grammig
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Joachim Grammig
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Vassilios G. Papavassiliou
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Using a novel high-frequency data set, we examine the contribution of Greek trading to the price discovery process of a pair of Cypriot blue-chip, cross-listed stocks during overlapping trading hours. Additionally, we investigate the effects of market fragmentation on the home market's quality, as measured by microstructure-based liquidity measures. Contrary to earlier studies from other markets, our findings show that foreign stock exchanges can act as the leading contributors to price discovery and can concentrate the majority of trading activity and produce the lowest transaction costs. Our results also show that market fragmentation can lead to negative effects on market liquidity.
Author: Yoichi Otsubo
Publisher:
ISBN:
Category :
Languages : en
Pages : 34
Get Book Here
Book Description
This study examines the role for the Tokyo and the New York Stock Exchange in price discovery for Japanese shares. The two markets' trading hours do not overlap and the trading volume concentrates in Tokyo. State space model approach is employed to investigate the contribution and the efficiency of price discovery. We find that the size of information incorporated in prices observed at Tokyo is greater than in New York. More than 90% of the information is incorporated during the trading hours in the domestic market. In contrast the speed of incorporating information into prices is faster in New York than in Tokyo. New York takes less than half of what Tokyo takes to incorporate information. Our simulation suggests that the contribution on price discovery by New York Stock Exchange would be non-trivial if the two markets open simultaneously.
Author: Joachim Grammig
Publisher:
ISBN:
Category :
Languages : en
Pages : 46
Get Book Here
Book Description
Abstract: This paper addresses two issues: 1) where does price discovery occur for firms that are traded simultaneously in the U.S. and in their home markets and 2) what explains the differences across firms in the share of price discovery that occurs in the U.S? The answer to the first question is that the home market is typically where the majority of price discovery occurs, but there are significant exceptions to this rule and the nature of price discovery across international markets during the time of trading overlap is richer and more complex that previously realized. For the second question, the results provide strong support that liquidity is an important factor. For a particular firm, the greater the liquidity of U.S. trading relative to the home market, the greater the role for U.S. price discovery.
Author: Ruth Janine Freedman
Publisher:
ISBN:
Category : Securities
Languages : en
Pages : 60
Get Book Here
Book Description
Author: Liu, Lixian
Publisher: IGI Global
ISBN: 1466650486
Category : Business & Economics
Languages : en
Pages : 380
Get Book Here
Book Description
While many nations are still struggling from the global financial crisis and regaining their financial security, investors are considering alternative options for investing their money; and the secure financial sector is China appears as a viable option. International Cross-Listing of Chinese Firms examines the successful techniques and strategies that Chinese companies are using within their financial practices. It highlights the foreign-based multinational enterprise theories related to the major international stock markets. By providing the latest theories and research, this book will be beneficial for business practitioners, researchers, and managers interested in the relationship between cross-listing and firm valuation of Chinese firms.
Author: Gerard Caprio
Publisher: Academic Press
ISBN: 0123978742
Category : Business & Economics
Languages : en
Pages : 807
Get Book Here
Book Description
The sharp realities of financial globalization become clear during crises, when winners and losers emerge. Crises usher in short- and long-term changes to the status quo, and everyone agrees that learning from crises is a top priority. The Evidence and Impact of Financial Globalization devotes separate articles to specific crises, the conditions that cause them, and the longstanding arrangements devised to address them. While other books and journal articles treat these subjects in isolation, this volume presents a wide-ranging, consistent, yet varied specificity. Substantial, authoritative, and useful, these articles provide material unavailable elsewhere. Substantial articles by top scholars sets this volume apart from other information sources Rapidly developing subjects will interest readers well into the future Reader demand and lack of competitors underline the high value of these reference works
Author: Roberto Pascual
Publisher:
ISBN:
Category :
Languages : en
Pages : 34
Get Book Here
Book Description
This paper analyzes the price discovery process of securities that trade at multiple markets with trading sessions that totally or partially overlap. Building on Hasbrouck (1995) information share approach, we introduce a methodology that distinguishes two sources of information asymmetries between markets: traderelated and trade-unrelated informative shocks. This approach determines how much of each market's relative contribution to the price discovery process during the overlapping period is attributable to its own trading activity. We provide empirical evidence on the contribution of the NYSE in the price discovery process of the Spanish cross-listed stocks during the daily two-hour overlapping interval.
Author: Albert J. Menkveld
Publisher:
ISBN:
Category :
Languages : en
Pages : 33
Get Book Here
Book Description
U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. market and, potentially, in both markets simultaneously. We develop a general methodology based on a state space model to study 24-hour price discovery in a multiple markets setting. As opposed to the standard variance ratio approach, this model deals naturally with (i) simultaneous quotes in an overlap, (ii) missing observations in a non-overlap, (iii) noise due to transitory microstructure effects, and (iv) contemporaneous correlation in returns due to market-wide factors. We apply our model to Dutch stocks, cross-listed in the U.S. Our findings suggest a minor role for the NYSE in price discovery for Dutch shares, in spite of its non-trivial and growing market share.
Author: Stephen J. Taylor
Publisher: Princeton University Press
ISBN: 1400839254
Category : Business & Economics
Languages : en
Pages : 544
Get Book Here
Book Description
This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.
