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Cross-Border Listings and Price Discovery: Evidence from UK- and US-listed Swedish Stocks

Bäckman, John; Hellberg, Linda and Jönsson, Anna (2004)
Department of Business Administration
Abstract
Objective: The objective of this study is to examine the extent to which the London stock exchange and the US stock exchange Nasdaq respectively contributes to the price discovery of Swedish stocks listed on the Stockholm stock exchange, the London stock exchange and the US stock exchange Nasdaq.
Method: The study is a replicate study of the studies by Grammig, Melvin and Schlag (2000) and Eun and Sabherwal (2003). The methodology is based on the methodology of the latter study. The data material consisting of quoted stock prices for three Swedish stocks on the three stock exchanges at five-minute intervals during a 49-day-period in 2003 has been run through different statistical tests in a five-step process.
Conclusion: The evidence of... (More)
Objective: The objective of this study is to examine the extent to which the London stock exchange and the US stock exchange Nasdaq respectively contributes to the price discovery of Swedish stocks listed on the Stockholm stock exchange, the London stock exchange and the US stock exchange Nasdaq.
Method: The study is a replicate study of the studies by Grammig, Melvin and Schlag (2000) and Eun and Sabherwal (2003). The methodology is based on the methodology of the latter study. The data material consisting of quoted stock prices for three Swedish stocks on the three stock exchanges at five-minute intervals during a 49-day-period in 2003 has been run through different statistical tests in a five-step process.
Conclusion: The evidence of this study shows that prices on SSE, LSE and NASD are cointegrated and mutually adjusting. The evidence suggests that in all three cases, price discovery takes place on the home stock exchange SSE. Moreover, LSE contributes more to price discovery than Nasdaq (Less)
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author
Bäckman, John; Hellberg, Linda and Jönsson, Anna
supervisor
organization
year
type
H1 - Master's Degree (One Year)
subject
keywords
Cross-border listings, ADR, Stockholm stock exchange, London stock exchange, Nasdaq, Cointegration, Error correction model, Price discovery, Management of enterprises, Företagsledning, management
language
Swedish
id
1342948
date added to LUP
2004-06-04
date last changed
2012-04-02 15:02:46
@misc{1342948,
  abstract     = {Objective: The objective of this study is to examine the extent to which the London stock exchange and the US stock exchange Nasdaq respectively contributes to the price discovery of Swedish stocks listed on the Stockholm stock exchange, the London stock exchange and the US stock exchange Nasdaq.
Method: The study is a replicate study of the studies by Grammig, Melvin and Schlag (2000) and Eun and Sabherwal (2003). The methodology is based on the methodology of the latter study. The data material consisting of quoted stock prices for three Swedish stocks on the three stock exchanges at five-minute intervals during a 49-day-period in 2003 has been run through different statistical tests in a five-step process.
Conclusion: The evidence of this study shows that prices on SSE, LSE and NASD are cointegrated and mutually adjusting. The evidence suggests that in all three cases, price discovery takes place on the home stock exchange SSE. Moreover, LSE contributes more to price discovery than Nasdaq},
  author       = {Bäckman, John and Hellberg, Linda and Jönsson, Anna},
  keyword      = {Cross-border listings,ADR,Stockholm stock exchange,London stock exchange,Nasdaq,Cointegration,Error correction model,Price discovery,Management of enterprises,Företagsledning, management},
  language     = {swe},
  note         = {Student Paper},
  title        = {Cross-Border Listings and Price Discovery: Evidence from UK- and US-listed Swedish Stocks},
  year         = {2004},
}