Show simple item record

dc.contributor.authorGilbert, A
dc.contributor.authorFrijns, B
dc.contributor.authorTourani, A
dc.date.accessioned2014-01-16T22:42:00Z
dc.date.accessioned2014-01-16T22:58:38Z
dc.date.available2014-01-16T22:42:00Z
dc.date.available2014-01-16T22:58:38Z
dc.date.copyright2013-12-19
dc.date.issued2014-01-17
dc.identifier.citationAustralasian Finance and Banking Conference held at Shangri-La, Sydney, Australia, 2013-12-17 to 2013-12-19
dc.identifier.urihttp://hdl.handle.net/10292/6491
dc.description.abstractPrice discovery is the process by which markets incorporate new information. In this study, we investigate the price discovery for 19 stocks cross-listed on the NZX and the ASX between 1998 and 2012. We observe strong downward trends in the contribution to price discovery of the NZX, both for New Zealand firms cross-listing on the ASX, and Australian firms cross-listing on the NZX. This suggests that the competitiveness of the NZX relative to the ASX is decreasing. Towards the end of the sample period, 50% of the price discovery for New Zealand firms takes place on the ASX, and the NZX acts as a satellite market for Australian firms. We further examine the driving factors behind this decline, such as spreads, and trading and quoting activity.
dc.publisherInstitute of Global Finance, Australian School of Business
dc.relation.replaceshttp://hdl.handle.net/10292/6489
dc.relation.replaces10292/6489
dc.relation.urihttp://www.asb.unsw.edu.au/schools/bankingandfinance/newsandevents/afbc/Documents/26th-AFBC-Program-22-11-13.pdf
dc.rightsNOTICE: this is the author’s version of a work that was accepted for publication. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in (see Citation). The original publication is available at (see Publisher's Version).
dc.subjectPrice Discovery
dc.subjectMarket Microstructure
dc.titleCrossing the Tasman: determinants of price discovery for Australia-New Zealand cross-listed shares
dc.typeConference Contribution
dc.rights.accessrightsOpenAccess
aut.conference.typeOral Presentation - Paper Presentation
pubs.elements-id159927


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record