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Price discovery of cross-listed firms

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  • Ghadhab, Imen
  • Hellara, Slaheddine

Abstract

This paper examines the contribution of cross-listing to price discovery for a unique and comprehensive sample of firms listed abroad. Using an extended measure of the common factor weight, we find that foreign market contribution to price discovery is more important for multiple-listed firms compared to cross-listed ones. Our results also show that US exchanges are more conductive to price discovery than do foreign European markets. On a univariate regression, we find new evidence that order driven markets and those which are more integrated with the world contribute significantly to price discovery of stocks listed abroad. On a multivariate regression, information asymmetry measures seem to have the most important effect on foreign market contribution to price determination.

Suggested Citation

  • Ghadhab, Imen & Hellara, Slaheddine, 2016. "Price discovery of cross-listed firms," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 177-188.
    • Handle: RePEc:eee:finana:v:44:y:2016:i:c:p:177-188
    DOI: 10.1016/j.irfa.2016.01.017
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    Citations

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    2. Ghadhab, Imen & M’rad, Mouna, 2018. "Does US cross-listing come with incremental benefit for already UK cross-listed firms," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 188-204.
    3. Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2024. "The profitability of lead–lag arbitrage at high frequency," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1002-1021.
    4. Ghadhab, Imen & Hellara, Slaheddine, 2016. "Cross-listing and value creation," Journal of Multinational Financial Management, Elsevier, vol. 37, pages 1-11.
    5. Yang, Ann Shawing & Carandang, Craig Alan Uyan, 2017. "Exploring the location and price differentials of cross-listed firms for arbitrage opportunities," Finance Research Letters, Elsevier, vol. 21(C), pages 85-91.
    6. Imen Ghadhab, 2021. "Cross-listing and crisis," Journal of Asset Management, Palgrave Macmillan, vol. 22(7), pages 539-558, December.
    7. Awadh Saeed Bin-Dohry & Hanita Kadir Shahar & Sharmilawati Sabki & David McMillan, 2021. "The determinants of dual listing decision of firms from ASEAN-5," Cogent Economics & Finance, Taylor & Francis Journals, vol. 9(1), pages 1917105-191, January.
    8. Abdallah, Abed AL-Nasser & Abdallah, Wissam, 2019. "Does cross-listing in the US improve investment efficiency? Evidence from UK firms," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 215-231.
    9. Qiuyuan Lei & Muhammad Umer Quddoos Attari & Mustansar Hayat & Muhammad Munir Ahmad & Abdul Haseeb & Amir Rafique, 2023. "Mapping the Themes Underlying the Literature on Cross-Listing of Shares—A Contemporary Corporate Strategy of Sustainable Growth," Sustainability, MDPI, vol. 15(12), pages 1-26, June.

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    More about this item

    Keywords

    Cross-listing; Price discovery; Error correction model; information asymmetry;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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