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

34 Pages Posted: 4 May 2002 Last revised: 6 Feb 2009

See all articles by Roberto Pascual

Roberto Pascual

Universidad de las Islas Baleares

Bartolomé Pascual-Fuster

Dep. Economia de la Empresa, Universitat Illes Balears (UIB)

Francisco J. Climent

University of Valencia - Department of Financial Economics

Date Written: 2006

Abstract

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.

Suggested Citation

Pascual Gascó, Roberto and Pascual-Fuster, Bartolomé and Climent Diranzo, Francisco José, Cross-Listing, Price Discovery and the Informativeness of the Trading Process (2006). Journal of Financial Markets, Vol. 9, No. 2, 2006, Available at SSRN: https://ssrn.com/abstract=309881 or http://dx.doi.org/10.2139/ssrn.309881

Roberto Pascual Gascó (Contact Author)

Universidad de las Islas Baleares ( email )

Ctra. de Valldemossa km 7,5
Departamento de Economia y Empresa
Palma, Baleares
Spain
+34 971 17 13 29 (Phone)
+34 971 17 23 89 (Fax)

Bartolomé Pascual-Fuster

Dep. Economia de la Empresa, Universitat Illes Balears (UIB) ( email )

Ctra. de Valldemossa km 7,5
Palma, Baleares 07122
Spain
+34 971 172652 (Phone)
+34 971 172389 (Fax)

HOME PAGE: http://www.uib.es/depart/deeweb/pdi/hdeebpf0/tomeupascual/index-personal.htm

Francisco José Climent Diranzo

University of Valencia - Department of Financial Economics ( email )

Avda. del Tarongers, s/n
46022 Valencia
Spain
00-34-963828369 (Phone)
00-34-963828370 (Fax)

HOME PAGE: http://www.uv.es/~fcliment

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