Arbeitspapier
Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence
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. marketand, potentially, in both markets simultaneously. We use a state space model to study 24-hour price discovery. As opposed to thestandard variance ratio'' approach, this model deals naturally with (i) simultaneous quotes in an overlap, (ii) missing observations in anon-overlap, (iii) noise due to transitory microstructure effects, and (iv) contemporaneous correlation in returns due to market-widefactors. For NYSE-listed Dutch stocks, home market hours are a factor three more informative than U.S. market hours, which, inturn, are twice as informative as overnight hours. Surprisingly, strongest price discovery takes place in the NYSE preopening. Themodel shows results that are significantly different from the variance ratio approach.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 03-037/2
- Klassifikation
-
Wirtschaft
International Financial Markets
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
price discovery
cross-list
round-the-clock
24-hour
ADR
international.
Börsenkurs
Aktie
Niederländisch
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Menkveld, Albert J.
Koopman, Siem Jan
Lucas, André
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Menkveld, Albert J.
- Koopman, Siem Jan
- Lucas, André
- Tinbergen Institute
Entstanden
- 2003
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