Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/76943
Authors: 
Grammig, Joachim
Melvin, Michael
Schlag, Christian
Year of Publication: 
2001
Series/Report no.: 
Working Paper Series: Finance & Accounting, Johann Wolfgang Goethe-Universität Frankfurt a. M. 78
Abstract: 
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.
Subjects: 
international stock markets
cross-listing
price discovery
JEL: 
F3
G15
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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