Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects

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• 作者：Grammig ; Joachim ; Melvin ; Michael ; Schlag ; Christian
• 关键词：International stock markets ; Cross-listing ; Price discovery ; F3 ; G15
• 刊名：Journal of Empirical Finance
• 出版年：2005
• 出版时间：January, 2005
• 年：2005
• 卷：12
• 期：1
• 页码：139-164
• 全文大小：804 K

文摘

We analyze exchange rates along with equity quotes for 3 German firms from New York (NYSE) and Frankfurt (XETRA) during overlapping trading hours to see where price discovery occurs and how stock prices adjust to an exchange rate shock. Findings include: (a) the exchange rate is exogenous with respect to the stock prices; (b) exchange rate innovations are more important in understanding the evolution of NYSE prices than XETRA prices; and (c) most (but not all) of the fundamental or random walk component of firm value is determined in Frankfurt.