TY  - UNPD
A1  - Grammig, Joachim G.
A1  - Peter, Franziska J.
T1  - International price discovery in the presence of microstructure noise
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,50
N2  - This paper addresses and resolves the issue of microstructure noise when measuring the relative importance of home and U.S. market in the price discovery process of Canadian interlisted stocks. In order to avoid large bounds for information shares, previous studies applying the Cholesky decomposition within the Hasbrouck (1995) framework had to rely on high frequency data. However, due to the considerable amount of microstructure noise inherent in return data at very high frequencies, these estimators are distorted. We offer a modified approach that identifies unique information shares based on distributional assumptions and thereby enables us to control for microstructure noise. Our results indicate that the role of the U.S. market in the price discovery process of Canadian interlisted stocks has been underestimated so far. Moreover, we suggest that rather than stock specific factors, market characteristics determine information shares.
T3  - CFS working paper series - 2008, 50 
KW  - International Cross-Listings
KW  - Market Microstructure Noise
KW  - Price Discovery
KW  - Kanada
KW  - Preisbildung
KW  - USA
Y1  - 2008
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/6193
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-62291
ER  -