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Price Discovery Of Internationally Cross‐Listed Stocks During The 2008 Financial Crisis

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  • Jimmy Lockwood
  • Larry Lockwood
  • Sie Ting Lau

Abstract

Studies of cross‐listings show home markets dominate price discovery and point to informational advantages of local investors. However, we show price discovery gravitates to markets with better order execution quality and find home markets do not dominate price discovery. Instead, price discovery is more evenly split, especially for emerging markets. Order execution quality determines the dominant market as price discovery shifts 22% when order execution advantages reverse between home and foreign markets. Thus, markets with poor execution quality act more as satellite markets, adjust to more liquid markets, and play a diminished role in the pricing of cross‐listed stocks.

Suggested Citation

  • Jimmy Lockwood & Larry Lockwood & Sie Ting Lau, 2018. "Price Discovery Of Internationally Cross‐Listed Stocks During The 2008 Financial Crisis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 41(3), pages 351-381, September.
    • Handle: RePEc:bla:jfnres:v:41:y:2018:i:3:p:351-381
    DOI: 10.1111/jfir.12151
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    Cited by:

    1. Rui Fan & Oleksandr Talavera & Vu Tran, 2023. "Social media and price discovery: The case of cross‐listed firms," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(1), pages 151-167, February.
    2. Ke Xu & Xinwei Zheng & Deng Pan & Li Xing & Xuekui Zhang, 2020. "Stock Market Openness And Market Quality: Evidence From The Shanghai–Hong Kong Stock Connect Program," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(2), pages 373-406, May.
    3. Lockwood, Jimmy & Lockwood, Larry & Miao, Hong & Ramchander, Sanjay & Yang, Dongxiao, 2022. "The information content of ETF options," Global Finance Journal, Elsevier, vol. 53(C).

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