n Investment Analysts Journal - An investigation of intraday price discovery in cross-listed emerging market equities
|Article Title||An investigation of intraday price discovery in cross-listed emerging market equities|
|© Publisher:||Taylor & Francis|
|Journal||Investment Analysts Journal|
|Affiliations||1 ESADE Business School, Spain, 2 American University, Egypt and 3 American University, Egypt|
|Publication Date||May 2013|
|Pages||55 - 67|
ISI Social Science
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.
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