Dassanayake WLi X-MBuhr K20152015Research Report Series, 2015, 3/2015 (3), pp. 1 - 262357-206Xhttps://hdl.handle.net/10179/10448This 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.Jan-26Price discovery, Cross-listings, Market microstructure, International stock marketsJournal article287290Massey_Dark