The trading mechanism, cross listed stocks:A comparison of the Paris Bourse and SEAQ-International

Chelley-Steeley, Patricia L. (2003). The trading mechanism, cross listed stocks:A comparison of the Paris Bourse and SEAQ-International. Journal of International Financial Markets, Institutions and Money, 13 (4), pp. 401-417.

Abstract

This paper studies the behaviour of returns for a sample of cross-listed stocks, listed on both the Paris Bourse and SEAQ-International in London. The aim of the paper is to discover which market adjusts to fundamental news more quickly, the home market of Paris or SEAQ-International. We find that prices in London adjust to changes in their fundamental value more slowly than Paris prices, despite the ability to quickly arbitrage between the two markets. We suggest that this finding may reflect the type of trading, which takes place in the two markets and differences associated with the reporting of large trades. We also estimate the amount of noise present in the two markets and show that the Paris market is more noisy than London. © 2003 Published by Elsevier B.V.

Publication DOI: https://doi.org/10.1016/S1042-4431(03)00014-3
Divisions: Aston Business School > Accounting
Aston Business School > Accounting Research Group
Uncontrolled Keywords: cross listed stocks,noise,trading mechanism,Economics, Econometrics and Finance(all)
Full Text Link:
Related URLs: http://www.scop ... tnerID=8YFLogxK (Scopus URL)
Published Date: 2003-10
Authors: Chelley-Steeley, Patricia L.

Download

Item under embargo.

Export / Share Citation


Statistics

Additional statistics for this record