Price Discovery for Cross-Listed Securities from Emerging Eastern European Countries

Arbeitspapier

This study provides empirical evidence verifying the theory of price discovery for Eastern European enterprises based on their cross-listing on Western European exchanges. Despite the fact that the crosslisting behavior of companies has been analyzed very actively since the mid-70s, many competing hypotheses exist, and the debate is far from reaching an end. Cumulative average residuals (CARs) document increased information efficiency after the listing in Frankfurt or London. This result is supported by a stylized microstructure model. To be precise, competition for order flow alleviates informational frictions and reduces dealers? market power. These properties, however, are unevenly distributed among the auction system Frankfurt and the market maker system London. GARCH volatility spillovers strongly support these results and quantify a dominant role for home markets in information discovery. Moreover, they provide information on the relative functions of Frankfurt and London.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ZEW Discussion Papers ; No. 07-067

Classification and Topics

• Classification: Wirtschaft ; General Equilibrium and Disequilibrium: Financial Markets ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Corporate Finance and Governance: General ; International Financial Markets ; Information and Market Efficiency; Event Studies; Insider Trading ; Financial Aspects of Economic Integration
• Subject: Cross-Listing ; Cumulative Average Residuals ; Eastern Europe ; Information Discovery ; Time Series ; Börsenkurs ; Internationaler Finanzmarkt ; Wertpapieremission ; Informationseffizienz ; Unternehmen ; Osteuropäisch ; Deutschland ; Großbritannien

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Wölfle, Marco
• Event: Veröffentlichung
• (who): Zentrum für Europäische Wirtschaftsforschung (ZEW)
• (where): Mannheim
• (when): 2007

Further information

• Handle: http://hdl.handle.net/10419/24652
• Last update: 10.03.2025, 11:43 AM CET