Abstract
This paper analyzes the price discovery process of securities that trade on multiple markets with trading sessions that totally or partially overlap. Building on Hasbrouck's (1995) information share approach, we introduce a methodology that distinguishes two sources of information asymmetries between markets: trade-related and trade-unrelated informative shocks. This approach determines how much of each market's relative contribution to the price discovery process (during the overlapping period) is attributable to its own trading activity. We provide empirical evidence on the contribution of the NYSE to the price discovery process of Spanish cross-listed stocks during the daily (two-hour) overlapping interval.
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