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Title:Price Discovery for Cross-Listed Securities from Emerging Eastern European Countries PDF Logo
Authors:Wölfle, Marco
Issue Date:2007
Series/Report no.:ZEW Discussion Papers 07-067
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.
Subjects:Cross-Listing
Cumulative Average Residuals
Eastern Europe
Information Discovery
Time Series
JEL:D53
C32
G30
G15
G14
F36
Document Type:Working Paper
Appears in Collections:ZEW Discussion Papers
Publikationen von Forscherinnen und Forschern des ZEW

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