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• W2297228795 abstract "U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. market and, potentially, in both markets simultaneously. We use a state space model to study 24-hour price discovery. As opposed to the standard “variance ratio” approach, this model deals naturally with (i) simultaneous quotes in an overlap, (ii) missing observations in a non-overlap, (iii) noise due to transitory microstructure effects, and (iv) contemporaneous correlation in returns due to market-wide factors. Our findings suggest a minor role for the NYSE in price discovery for Dutch shares, in spite of its non-trivial and growing market share. The results differ significantly from the variance ratio approach." @default.
• W2297228795 created "2016-06-24" @default.
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• W2297228795 date "2003-10-13" @default.
• W2297228795 modified "2023-09-27" @default.
• W2297228795 title "Round-the-Clock Price Discovery for Cross-Listed Stocks: U.S.-Dutch Evidence" @default.
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• W2297228795 hasPublicationYear "2003" @default.
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