An investigation of intraday price discovery in cross-listed emerging market equities

C. Ansotegui, A. Bassiouny, E. Tooma

Research output: Indexed journal article Articlepeer-review

2 Citations (Scopus)

Abstract

We investigate multi-market price discovery using two year intraday data for Egyptian and Argentinean depository receipts and their underlying stock. The contribution of the local versus international exchange to price discovery is assessed using the Gonzalo and Granger's permanent-transitory common factor model. Whereas price discovery in the local market for Egyptian equities accounted for 75,8% of the price discovery in the DR, the result was mixed for the Argentinean equities, with an average of only 41,67% of DR prices determined in the local market. We find that size of the company, liquidity and trading volume explain the contribution of each market.

Original languageEnglish
Pages (from-to)55-67
Number of pages13
JournalInvestment Analysts Journal
Volume77
Issue number1
DOIs
Publication statusPublished - May 2013

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