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Price Discovery Between the New York Stock Exchange and Istanbul Stock Exchange

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  • Aslı Aşçıoğlu
  • Mehmet Oğuz Karahan
  • Neslihan Yılmaz

Abstract

We study the price discovery process between the New York Stock Exchange (NYSE) and Istanbul Stock Exchange (ISE). We examine the only cross-listed stock in those exchanges, Turkcell, for the overlapping trading periods. Utilizing the information share (IS) and the common factor component (GG) approaches, we estimate the contribution of each market to the price discovery process. We find that each market has relatively close GG coefficients. IS estimates indicate that a significant portion of Turkcell’s price discovery occurs on the NYSE. The smaller share of price discovery on the ISE may be attributed to the discrete tick sizes in the ISE.

Suggested Citation

  • Aslı Aşçıoğlu & Mehmet Oğuz Karahan & Neslihan Yılmaz, 2015. "Price Discovery Between the New York Stock Exchange and Istanbul Stock Exchange," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(1), pages 247-258, January.
    • Handle: RePEc:mes:emfitr:v:51:y:2015:i:1:p:247-258
    DOI: 10.1080/1540496X.2015.1011542
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    Cited by:

    1. Li, Zeguang & Hou, Keqiang & Zhang, Chao, 2021. "The impacts of circuit breakers on China's stock market," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).

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