The dynamics of price discovery for cross-listed stocks evidence from US and Chinese markets

Duppati, Geeta; Hou, Yang; Scrimgeour, Frank

doi:10.1080/23322039.2017.1389675

Cited by 7 publications

(18 citation statements)

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“…Hundreds of companies worldwide had been encouraged to cross-list their shares in the 1980s and 1990, due to the removal of barriers and relaxation of the restrictions on investment movements (Dobbs & Goedhart, 2008;Ndirangu & Iraya, 2016;Yao et al, 2018). The increase of firms pursues dual listing increase number of question regarding the motivation that encourages them to take this decision (Duppati et al, 2017). The benefits realized from listing abroad encourage firms to pursue dual listing to reduce trading and capital costs, increase investor recognition, and widen the financial sources of firms by offering their securities in more than one market (Dobbs & Goedhart, 2008;Ghadhab & M'rad, 2018;Roosenboom et al, 2009;You et al, 2013).…”

Section: Literature Reviewmentioning

confidence: 99%

The determinants of dual listing decision of firms from ASEAN-5

Bin-Dohry

Shahar

Sabki

et al. 2021

Cogent Economics & Finance

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Section: Literature Reviewmentioning

confidence: 99%

The determinants of dual listing decision of firms from ASEAN-5

Bin-Dohry

Shahar

Sabki

et al. 2021

Cogent Economics & Finance

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“…Their findings suggested that the NYSE played a dominant role in impounding information into stock prices; but failed to find integration between the Chinese, US and Hong Kong markets. More recently, Duppati et al (2017) determined that the NYSE had considerably more contribution to price discovery than the nine Chinese shares these authors examined that were cross-listed on NYSE. Interestingly, a paper by Hansda and Ray (2003) found bi-directional causality between the cross-listed stocks on MSE and NYSE which is technically in contradiction with the home bias hypothesis.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Additionally, the USA capital markets, particularly the NYSE, are considered to be the largest and most liquid and, as a result, they tend to be more influential in impounding information into stock prices (Karolyi, 2006). These claims that contradict the homebias hypothesis are supported by studies that use stocks with primary listing in the USA markets (Blume & Goldstein, 1991;Hasbrouck, 1995;McInish et al, 1995), European markets (Flad & Jung, 2008;Phylaktis & Korczak, 2010) and Asian markets (Duppati et al, 2017;Yang & Kun, 2014).…”

Section: Introductionmentioning

confidence: 99%

Price discovery of South African stocks cross-listed on the New York Stock Exchange

Chipunza

Tsunga

McCullough

2020

Cogent Economics & Finance

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The number of South African firms that have sought cross-listing in regional and global markets has been increasing. Many firms increase their presence beyond local markets, and one of these avenues is through cross-listing; however, it remains unclear whether the home or host market contributes more to the incorporation of information in cross-listed stocks. This study examined the price discovery process of Johannesburg Stock Exchange (JSE) domiciled stocks with a cross-listing on the New York Stock Exchange (NYSE). The price discovery of crosslisted stocks was tested using Johansen's and Phillips-Ouliaris' cointegration, the vector error correction model and common factor weights. Long-term relationships consistent with the law of one price were found. Contrary to the home bias hypothesis, results indicated that the NYSE dominated price discovery. Fund managers and investors who have included JSE cross-listed stocks in their portfolios should devote more attention to the NYSE as information flows appear to occur mainly from the NYSE to JSE. Further, results suggest that there is co-movement and integration between the USA and South Africa which diminishes diversification benefits for investors.ABOUT THE AUTHOR Kudakwashe J. Chipunza is pursuing a PhD (Development Finance) focusing on financial inclusion and financial vulnerability. His research interests lie in asset pricing in emerging markets, and development finance focused on household welfare, financial inclusion and financial literacy. Professionally, he has worked in nongovernmental organisations undertaking monitoring and evaluation of various projects. Kudzanai R. Tsunga is in the process of completing his PhD (Finance) at the University of KwaZulu-Natal, focusing on the impact of the financial economy on real economic growth in South Africa. His key research interests are on growth and asset pricing in emerging financial markets. He is employed as an investment administrator for an investment reporting firm in Johannesburg. Kerry F. McCullough is a Senior Lecturer (Finance) at the University of KwaZulu-Natal. Her research interests are capital markets, exchange traded funds, and higher education. This study was inspired by Mr Chipunza and Mr Tsunga's preparations for pursuing their doctoral dissertations.

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“…The process of listing shares outside the home country of a company is very interesting as many companies from developing countries are interested in listing their shares in developed countries (Duppati, Hou, Scrimgeour, & Hadsell, 2017;Li, Brockman, & Zurbruegg, 2015;Sarkissian & Schill, 2016). The shares listed by foreign companies on stock exchanges in developed countries, for example in United States, are called American Depositary Receipt (ADR) and the shares listed by foreign companies on stock exchanges on international markets are called Global Depositary Receipt (GDR) (Choi & Kim, 2000).…”

Section: Introductionmentioning

confidence: 99%

“…Various studies have been carried out in relation to the behavior of dual listing stock prices, including a research by Kot and Tam (2016) concerning the transfer of share price information recorded in China. A research by Duppati et al (2017) studied shares listed in Shanghai Stock Exchange and New York Stock Exchange; and Chan, Chockalingam, and Lai (2000) studied shares listed on the Pacific region stock exchanges with the New York Stock Exchange.…”

Section: Introductionmentioning

confidence: 99%

Transmission of Information of the Indonesian Dual Listed Shares

Anto¹,

Pangestuti²

2020

IJFR

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Various studies have been carried out in relation to the behavior of dual listing stock prices, unfortunately, study on the effects of changes in dual listing stock prices on the Indonesia Stock Exchange (IDX) is still limited. Differences in trading time and stock exchange class between one stock exchange with another in different countries raise an opportunity for the accumulation of information when one of the exchanges is experiencing a closing trading period. Indonesian companies such as PT. Telekomunikasi Indonesia (Persero) Tbk. (TLKM) whose shares are listed on the New York Stock Exchange (NYSE) and IDX experience the difference in time of their transaction which can affect the shares on the NYSE and on the IDX. This study conducted by using daily data from January 2018 to December 2018. This study found that there is a significant effect of changes in TLKM stock prices on the NYSE in (t-1) period to changes in TLKM stock prices on IDX in t-period. This finding proves that there was the existence of transmission of information between the stock exchanges utilized by investors.

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The dynamics of price discovery for cross-listed stocks evidence from US and Chinese markets

Cited by 7 publications

References 40 publications

The determinants of dual listing decision of firms from ASEAN-5

The determinants of dual listing decision of firms from ASEAN-5

Price discovery of South African stocks cross-listed on the New York Stock Exchange

Transmission of Information of the Indonesian Dual Listed Shares

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