A revisit of price discovery dynamics across Australia and New Zealand

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dc.citation.issue3
dc.citation.volume3/2015
dc.contributor.authorDassanayake W
dc.contributor.authorLi X-M
dc.contributor.authorBuhr K
dc.date.available2015
dc.date.issued2015
dc.description.abstractThis study re-investigates the price discovery dynamics of selected stocks cross-listed on the Australian Stock Exchange (ASX) and the New Zealand Stock Exchange (NZX) during a bear trading phase from January 2008 to December 2011. A differing price discovery dynamic in a bear market versus a bull market may occur because of variations in investor sentiments and disparities in the role of the stock prices. Using intraday data, we employ the vector error correction mechanism, Hasbrouck’s (1995) information share and Grammig e t al. ’s (2005) conditional information share methods. Consistent with previous research, we find that price discovery takes place mostly on the home market for the Australian firms and for all but one of the New Zealand firms. However, not seen in existing studies, we show that the NZX has grown in importance for both the Australian and New Zealand firms. This suggests that the NZX is deviating from being a pure satellite market.
dc.description.confidentialfalse
dc.format.extent1 - 26
dc.identifierhttp://www.unitec.ac.nz/epress/
dc.identifier.citationResearch Report Series, 2015, 3/2015 (3), pp. 1 - 26
dc.identifier.elements-id287290
dc.identifier.harvestedMassey_Dark
dc.identifier.issn2357-206X
dc.languageEnglish
dc.publisherePress, Unitec, Institute of Technology, NZ
dc.publisher.urihttp://www.unitec.ac.nz/epress/
dc.relation.isPartOfResearch Report Series
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License .
dc.subjectPrice discovery, Cross-listings, Market microstructure, International stock markets
dc.titleA revisit of price discovery dynamics across Australia and New Zealand
dc.typeJournal article
pubs.notesNot known
pubs.organisational-group/Massey University
pubs.organisational-group/Massey University/Massey Business School
pubs.organisational-group/Massey University/Massey Business School/School of Economics and Finance
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