TY  - UNPD
A1  - Grammig, Joachim
A1  - Melvin, Michael
A1  - Schlag, Christian
T1  - Internationally cross-listed stock prices during overlapping trading hours : price discovery and exchange rate effects
T2  - Universität Frankfurt am Main. Fachbereich Wirtschaftswissenschaften: [Working paper series / Finance and accounting] Working paper series, Finance & Accounting ; No. 78
N2  - We analyze exchange rates along with equity quotes for 3 German firms from New York (NYSE) and Frankfurt (XETRA) during overlapping trading hours to see where price discovery occurs and how stock prices adjust to an exchange rate shock. Findings include: (a) the exchange rate is exogenous with respect to the stock prices; (b) exchange rate innovations are more important in understanding the evolution of NYSE prices than XETRA prices; and (c) most (but not all) of the fundamental or random walk component of firm value is determined in Frankfurt.
T3  - Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting - 78 
KW  - International stock markets
KW  - Cross-listing
KW  - Price discovery
Y1  - 2001
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/3667
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-17631
PB  - Johann-Wolfgang-Goethe-Universität, Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
CY  - Frankfurt am Main
ER  -