Quote dynamics of dually-listed stocks

dark.contributor.authorFrijns, BPM
dark.contributor.authorIndriawan, I
dark.contributor.authorTourani-Rad, A
dc.date.accessioned2016-01-28T21:34:29Z
dc.date.available2016-01-28T21:34:29Z
dc.date.copyright2015-02-19
dc.date.issued2015-02-19
dc.description.abstractThis study investigates the quote dynamics of stocks listed and traded in two international fullysynchronized markets. We develop a general model for quote dynamics of assets traded in dual markets to assess how quotes react to liquidity shocks and trade-related information. We further develop this model to extract the implied vector autoregression for the spreads, the e¢ cient price, and the relative premium between the two markets. Applying our model to a sample of 64 Canadian stocks listed both in the U.S. and Canada, we observe a strong evidence of cross-market errorcorrecting behavior of spreads on the bid and ask quotes, indicating some degree of intermarket competition between liquidity providers. We also Önd that trade-related information does not a§ect quotes across market directly, indicating that even though the prices in the two markets are cointegrated, the two markets are still informationally segmented. Microstructure fundamentals such as changes in midpoint (implied e¢ cient price) and the di§erence in midquotes (relative premium) are driven by liquidity and trade-related information from each of the two markets with the U.S contributing more than Canada.
dc.identifier.citationNew Zealand Finance Colloquium held at Waikato University, Hamilton, NZ, 2015-02-18 to 2015-02-20
dc.identifier.urihttps://hdl.handle.net/10292/9445
dc.publisherThe New Zealand Finance Colloquium
dc.relation.urihttp://www.nzfc.ac.nz/archives/2015/colloquium/
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.rights.accessrightsOpenAccess
dc.subjectMarket Microstructure; Error-correction; Quote Dynamics, Cross-listings
dc.titleQuote dynamics of dually-listed stocks
dc.typeConference Contribution
pubs.elements-id179733
pubs.organisational-data/AUT
pubs.organisational-data/AUT/Business & Law
pubs.organisational-data/AUT/Business & Law/Finance
pubs.organisational-data/AUT/Business & Law/Finance/Finance PBRF 2012
Files
Original bundle
Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
Quote Dynamics - Ivan Indriawan.pdf
Size:
214.29 KB
Format:
Adobe Portable Document Format
Description:
License bundle
Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
RE4.10 Grant of Licence.docx
Size:
14.05 KB
Format:
Microsoft Word 2007+
Description: