TY - JOUR
T1 - The trading mechanism, cross listed stocks
T2 - A comparison of the Paris Bourse and SEAQ-International
AU - Chelley-Steeley, Patricia L.
PY - 2003/10
Y1 - 2003/10
N2 - 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.
AB - 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.
KW - cross listed stocks
KW - noise
KW - trading mechanism
UR - http://www.scopus.com/inward/record.url?scp=30244541838&partnerID=8YFLogxK
U2 - 10.1016/S1042-4431(03)00014-3
DO - 10.1016/S1042-4431(03)00014-3
M3 - Article
SN - 1042-4431
VL - 13
SP - 401
EP - 417
JO - Journal of International Financial Markets, Institutions and Money
JF - Journal of International Financial Markets, Institutions and Money
IS - 4
ER -