Cross-Border Listings and Price Discovery: Evidence from UK- and US-listed Swedish Stocks
(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)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1342948
- author
- Bäckman, John ; Hellberg, Linda and Jönsson, Anna
- supervisor
- organization
- year
- 2004
- 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 00:00:00
- 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}},
language = {{swe}},
note = {{Student Paper}},
title = {{Cross-Border Listings and Price Discovery: Evidence from UK- and US-listed Swedish Stocks}},
year = {{2004}},
}