Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/43237
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dc.contributor.authorGrammig, Joachim G.en_US
dc.contributor.authorPeter, Franziska J.en_US
dc.date.accessioned2009-08-06en_US
dc.date.accessioned2010-12-15T09:22:17Z-
dc.date.available2010-12-15T09:22:17Z-
dc.date.issued2008en_US
dc.identifier.piurn:nbn:de:hebis:30-62291-
dc.identifier.urihttp://hdl.handle.net/10419/43237-
dc.description.abstractThis paper addresses and resolves the issue of microstructure noise when measuring the relative importance of home and U.S. market in the price discovery process of Canadian interlisted stocks. In order to avoid large bounds for information shares, previous studies applying the Cholesky decomposition within the Hasbrouck (1995) framework had to rely on high frequency data. However, due to the considerable amount of microstructure noise inherent in return data at very high frequencies, these estimators are distorted. We offer a modified approach that identifies unique information shares based on distributional assumptions and thereby enables us to control for microstructure noise. Our results indicate that the role of the U.S. market in the price discovery process of Canadian interlisted stocks has been underestimated so far. Moreover, we suggest that rather than stock specific factors, market characteristics determine information shares.en_US
dc.language.isoengen_US
dc.publisher|aGoethe University, Center for Financial Studies (CFS) |cFrankfurt a. M.en_US
dc.relation.ispartofseries|aCFS Working Paper |x2008/50en_US
dc.subject.jelF3en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordInternational Cross-Listingsen_US
dc.subject.keywordMarket Microstructure Noiseen_US
dc.subject.keywordPrice Discoveryen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwInternationaler Preiszusammenhangen_US
dc.subject.stwNoise Tradingen_US
dc.subject.stwMikrostrukturanalyseen_US
dc.subject.stwKanadaen_US
dc.subject.stwUSAen_US
dc.titleInternational price discovery in the presence of microstructure noiseen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn606200061en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfswop:200850-

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