Investors Far and Near: Information Type and the Geography of Price Discovery

Abstract

Local (São Paulo) and global (New York) markets contribute significantly to information production and price discovery in dual-listed Brazilian shares, but their contribution varies over time. Local information shares increase on days when a stock experiences a significant idiosyncratic price swing but remain stable on scheduled announcement days and decline, for the most internationally traded firms, on days when the whole local market experiences a large price swing. Traders in the local market seem to have an advantage in collecting and processing company-specific unscheduled information, but not widely disseminated information which affects the company or the whole market.

Keywords: Information asymmetry, Geographic location, Price discovery, Scheduled and unscheduled information

JEL Classification: G14, G15, G20