U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration

Werner, Ingrid M.; Kleidon, Allan W.

doi:10.1093/rfs/9.2.619

Cited by 236 publications

(170 citation statements)

References 33 publications

Supporting

Mentioning

155

Contrasting

Order By: Relevance

“…In contrast, Werner and Kleidon (1996) report that New York intraday trading patterns of British cross-listed stocks are virtually unaffected by London market trading which is conducted for 6 h prior to the New York open. They also find that the London intraday trading pattern is affected only to a very limited degree by New York trading.…”

Section: Introductionmentioning

confidence: 93%

“…Werner and Kleidon (1996), for example, observe higher volatility and trading volume for British cross-listed stocks than non-cross-listed stocks during the 2-h overlapping trading period. They attribute these findings to private information originating in New York that is incorporated into the prices of both markets.…”

Section: Introductionmentioning

confidence: 96%

“…4 Third, both Hong Kong and London markets trade these stocks in Hong Kong dollars. Therefore, we avoid the foreign exchange-related confounding effects that exist in most of the previous studies on multi-market trading as identified by Werner and Kleidon (1996) and Grammig et al (in press). According to Werner and Kleidon, studies examining stocks that are traded in different forms of claims and currency denominations, in different markets, suffer from at least two problems: (i) the two securities are not necessarily perfect substitutes for all investors; (ii) the intraday exchange rate volatility can induce a new risk factor in pricing these international securities.…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London

Agarwal¹,

Li²,

Rhee³

2007

Journal of International Money and Finance

View full text Add to dashboard Cite

Using a sample of Hong Kong-listed stocks that are also traded on the London Stock Exchange, we document the following results: first, London market makers use Hong Kong's closing prices as the benchmark for setting the opening prices in London. Second, trading in the London market plays only a limited role in price discovery in the Hong Kong market. Third, the stock returns from London trading are closely correlated with those of the Hong Kong market. The above findings are consistent with the explanation that London trading is predominantly liquidity-driven but not information-driven.

show abstract

Section: Introductionmentioning

confidence: 93%

Section: Introductionmentioning

confidence: 96%

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London

Agarwal¹,

Li²,

Rhee³

2007

Journal of International Money and Finance

View full text Add to dashboard Cite

show abstract

“…Both Foerster and Karolyi (1998) and Hargis (2000) show that when Toronto and Latin American stocks respectively are cross-listed on a U.S. exchange average spreads decline. Moreover, Werner and Kleidon (1996) show that US-UK cross-listed stocks have lower average spreads than comparable control securities. More recently, Moulton and Wei (2009) have shown that the overlap period itself is important in influencing spreads.…”

Section: B Submission and Take Ratesmentioning

confidence: 94%

Trading Patterns and Market Integration in Overlapping Experimental Asset Markets

Chelley‐Steeley¹,

Kluger²,

Steeley³

et al. 2015

J. Financ. Quant. Anal.

View full text Add to dashboard Cite

This paper examines trading patterns and market integration using laboratory asset markets. Our markets are designed to approximately correspond to the trading day for stocks cross-listed in markets in Europe and North America. Some of our markets feature timing restrictions so that participants cannot trade across markets except during a fully integrated overlap period. Comparison of markets with and without timing restrictions shows that restrictions reduce trading activity and shift transactions to the overlap period. When asset values are extreme, price discovery can be impeded when trading restrictions exist. The measurement of liquidity suggests that trading restrictions increase overall spreads.

show abstract

“…Empirical papers investigating stock market integration have analyzed the degree of integration from various angles. 1 One aspect of the literature investigates equity market integration using high frequency data (see e.g., (Hasbrouck 1995;Werner and Kleidon 1996;Lowengrub and Melvin 2002;Hupperets and Menkveld 2002)). These authors tested the hypothesis that the listing of a firm on a foreign exchange should have no effect on the price of the firm where the markets are perfectly integrated.…”

Section: Introductionmentioning

confidence: 99%

Financial Market Integration: Evidence from Cross-Listed French Firms

Mehanaoui¹

2017

JRFM

View full text Add to dashboard Cite

Using high frequency data we investigate the behavior of the intraday volatility and the volume of eight cross-listed French firms. There is a two hour "overlap" period during which French firms are traded in Paris and their related American Depositary Receipts (ADRs) are traded in New York. Using concurrent 15-min returns, this article examines the extent of market integration-defined as prices in both markets reflecting the same fundamental information-involving these firms. Our results suggest that these markets are not perfectly integrated. A significant rise in volatility and volume is observed during the two hour "overlap" period. This suggests the existence of informed trading. An error correction model (ECM) is then used to examine changes in prices of French firms in Paris and New York. These temporary changes appear to converge over time.

show abstract

U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration

Cited by 236 publications

References 33 publications

Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London

Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London

Trading Patterns and Market Integration in Overlapping Experimental Asset Markets

Financial Market Integration: Evidence from Cross-Listed French Firms

Contact Info

Product

Resources

About