Price Discovery for Cross-Listed Securities from Emerging Eastern European Countries


Wölfle, Marco


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URL: http://ub-madoc.bib.uni-mannheim.de/1787
URN: urn:nbn:de:bsz:180-madoc-17872
Document Type: Working paper
Year of publication: 2007
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: C32 D53 F36 G14 G15 G30 ,
Subject headings (SWD): Börsenkurs , Internationaler Kreditmarkt , Wertpapieremission , Informationseffizienz , Unternehmen
Individual keywords (German): Osteuropa , Deutschland , Großbritannien
Keywords (English): Cross-Listing , Cumulative Average Residuals , Eastern Europe , Information Discovery , Time Series
Abstract: This study provides empirical evidence verifying the theory of price discovery for Eastern European enterprises based on their cross-listing on Western European exchanges. Despite the fact that the crosslisting behavior of companies has been analyzed very actively since the mid-70s, many competing hypotheses exist, and the debate is far from reaching an end. Cumulative average residuals (CARs) document increased information efficiency after the listing in Frankfurt or London. This result is supported by a stylized microstructure model. To be precise, competition for order flow alleviates informational frictions and reduces dealers’ market power. These properties, however, are unevenly distributed among the auction system Frankfurt and the market maker system London. GARCH volatility spillovers strongly support these results and quantify a dominant role for home markets in information discovery. Moreover, they provide information on the relative functions of Frankfurt and London.
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Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Wölfle, Marco (2007) Price Discovery for Cross-Listed Securities from Emerging Eastern European Countries. Open Access [Working paper]
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