Information Processing on Equity Prices and Exchange Rate for Cross Listed Stocks

59 Pages Posted: 1 Oct 2018

See all articles by Cristina Mabel Scherrer

Cristina Mabel Scherrer

Aarhus University; Aarhus University - CREATES

Date Written: September 11, 2018

Abstract

This paper investigates the dynamics of information processing for equity prices and exchange rate of cross-listed firms. Using high-frequency data and a novel structural setting, I disentangle the effects on firm value from the exchange rate from the other determinants of a firm's cash flow. In general, the results suggest that the foreign market is faster than the home market and that there is a net positive relationship between the value of the domestic currency and the firm's value. This result is linked to the likely partially segmented market characteristic of the home market. Robustness checks confirm the results.

Keywords: Price Discovery, High Frequency Data, Structural VECM, Exchange Rate

JEL Classification: G15, G12, G14, G32, C32, F31

Suggested Citation

Scherrer, Cristina Mabel, Information Processing on Equity Prices and Exchange Rate for Cross Listed Stocks (September 11, 2018). Available at SSRN: https://ssrn.com/abstract=3247594 or http://dx.doi.org/10.2139/ssrn.3247594

Cristina Mabel Scherrer (Contact Author)

Aarhus University ( email )

Nordre Ringgade 1
Aarhus, 8000
Denmark

Aarhus University - CREATES ( email )

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
Denmark

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