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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 03-037/2
- Classification
-
Wirtschaft
International Financial Markets
Information and Market Efficiency; Event Studies; Insider Trading
- Subject
-
price discovery
cross-list
round-the-clock
24-hour
ADR
international.
Börsenkurs
Aktie
Niederländisch
USA
- Event
-
Geistige Schöpfung
- (who)
-
Menkveld, Albert J.
Koopman, Siem Jan
Lucas, André
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2003
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Menkveld, Albert J.
- Koopman, Siem Jan
- Lucas, André
- Tinbergen Institute
Time of origin
- 2003
Other Objects (12)
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model
Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes
Likelihood-based Analysis for Dynamic Factor Models
A Forty Year Assessment of Forecasting the Boat Race
Finding the European crime drop using a panel data model with stochastic trends
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures
Fast Efficient Importance Sampling by State Space Methods
Time Series Modelling of Daily Tax Revenues
Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility
Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
Seasonality with Trend and Cycle Interactions in Unobserved Components Models
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model
Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes
Likelihood-based Analysis for Dynamic Factor Models
A Forty Year Assessment of Forecasting the Boat Race
Finding the European crime drop using a panel data model with stochastic trends
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures
Fast Efficient Importance Sampling by State Space Methods
Time Series Modelling of Daily Tax Revenues
Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility
Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
Seasonality with Trend and Cycle Interactions in Unobserved Components Models
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model
Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes
Likelihood-based Analysis for Dynamic Factor Models
A Forty Year Assessment of Forecasting the Boat Race
Finding the European crime drop using a panel data model with stochastic trends
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures
Fast Efficient Importance Sampling by State Space Methods
Time Series Modelling of Daily Tax Revenues
Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility
Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series