Cross-Listing, Price Discovery and the Informativeness of the Trading Process

Download or read book Cross-Listing, Price Discovery and the Informativeness of the Trading Process written by Roberto Pascual and published by . This book was released on 2009 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.