TY - JOUR
T1 - An investigation of intraday price discovery in cross-listed emerging market equities
AU - Ansotegui Olcoz, M.
AU - Bassiouny, A.
AU - Tooma, E.
PY - 2013/5
Y1 - 2013/5
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84870370221&partnerID=8YFLogxK
U2 - 10.1080/10293523.2013.11082556
DO - 10.1080/10293523.2013.11082556
M3 - Article
AN - SCOPUS:84870370221
SN - 1029-3523
VL - 77
SP - 55
EP - 67
JO - Investment Analysts Journal
JF - Investment Analysts Journal
IS - 1
ER -