Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/43237 
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dc.contributor.authorGrammig, Joachim G.en
dc.contributor.authorPeter, Franziska J.en
dc.date.accessioned2009-08-06-
dc.date.accessioned2010-12-15T09:22:17Z-
dc.date.available2010-12-15T09:22:17Z-
dc.date.issued2008-
dc.identifier.piurn:nbn:de:hebis:30-62291en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2008/50en
dc.subject.jelF3en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordInternational Cross-Listingsen
dc.subject.keywordMarket Microstructure Noiseen
dc.subject.keywordPrice Discoveryen
dc.subject.stwBörsenkursen
dc.subject.stwInternationaler Preiszusammenhangen
dc.subject.stwNoise Tradingen
dc.subject.stwMikrostrukturanalyseen
dc.subject.stwKanadaen
dc.subject.stwUSAen
dc.titleInternational price discovery in the presence of microstructure noise-
dc.typeWorking Paperen
dc.identifier.ppn606200061en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:200850en

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