INTERNATIONAL TRANSFER OF PRICING INFORMATION BETWEEN DUALLY LISTED STOCKS

Shmuel Hauser · Yael Tanchuma · Uzi Yaari

45 citations0/0 files storedThe Journal of Financial Research

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

Abstract

Abstract International multiple listing offers a unique opportunity to study the efficiency of information transmission across national markets. The knowledge gained from observing a stock of the same company priced in multiple markets differs from what may be gained from observing relations across markets of aggregate price indices. We investigate five companies based in Israel whose stocks are listed on both the Tel Aviv Stock Exchange and NASDAQ. Our empirical tests of causality in price changes use the side‐by‐side Box‐Jenkins ARIMA models and the Sims VAR model. Overall, the results show that price causality in dually listed stocks is unidirectional from the domestic market to the foreign market.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1980Macroeconomics and Reality 1990Correlations in Price Changes and Volatility across International Stock Markets 1989International Transmission of Stock Market Movements 1987Trading Mechanisms and Stock Returns: An Empirical Investigation 1991Multimarket Trading and Market Liquidity

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