The circumstances surrounding the outbreak of the COVID-19 pandemic have generated
substantial international political strain as governments attempt to mitigate the widespread …

A market is typically considered to dominate price discovery if it is the first to reflect new
information about the fundamental value. Our simulations indicate that common price …

We examine the determinants of price discovery for Canadian firms cross-listed on the main
US stock exchanges over the period 1996–2011. Sampling at a one-minute frequency, we …

This study employs macroeconomic news announcements as a proxy for new information
arrivals and examines their impact on price discovery. We compare the price discovery of 38 …

Chinese public holidays of differing durations celebrated in mainland China and Hong Kong
provide a unique trading gap when the A-share markets are closed but the H-share market …

We analyze price discovery dynamics for Canadian companies cross-listed on the NYSE
from January 2004 to August 2017. We employ a structural vector autoregression to assess …

Price discovery is the incorporation of information to prices through the actions of traders.
Previous studies in financial markets have found evidence that informed traders may submit …

This paper examines the contribution of cross-listing to price discovery for a unique and
comprehensive sample of firms listed abroad. Using an extended measure of the common …

Price discovery contributions of equity and credit default swap (CDS) markets for US firms
with intraday data in 2009–2013 are examined using information and component shares …

The adjustment to parity can be nonlinear for a cross-listed pair: Convergence may be
quicker when the price deviation is sufficiently profitable. We propose a threshold error …