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Price Discovery of Tokyo-New York Cross-listed Stocks

Author

Listed:
  • Yoichi Otsubo

    (LSF)

Abstract

This study examines price discovery of Japanese companies Tokyo-New York cross-listed shares. Kalman ?filter is utilized to estimate partial price adjustment model. By employing Kalman filter, the present research can deal with problem researchers has to confront in order to analyze nonoverlapping markets such as Tokyo and New York with Hasbrouck s information share or Gonzalo-Granger portfolio weights. By modifying the partial price adjustment model to allow different variance on information shock for each market s opening hours, we find that the magnitude of the shocks are larger during Tokyo opening hours. Dynamic measure suggested by Yan and Zivot (2006) shows that NYSE is more efficient in price discovery.

Suggested Citation

  • Yoichi Otsubo, 2012. "Price Discovery of Tokyo-New York Cross-listed Stocks," DEM Discussion Paper Series 12-5, Department of Economics at the University of Luxembourg.
    • Handle: RePEc:luc:wpaper:12-5
    as

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    File URL: http://wwwen.uni.lu/content/download/53129/634573/file/Price%20Discovery%20of%20Tokyo%20-%20New%20York%20Cross-listed%20Stocks_2012%20(5).pdf
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    More about this item

    Keywords

    information shares; international cross-listing; market microstructure; price discovery;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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