Price Interactions in a Sequential Global Market: Evidence from the Cross‐listed Stocks
研究在纽约、伦敦和东京三大股市交叉上市的股票价格动态互动，发现本国市场创新会传导至海外市场，而纽约市场的外国股票创新会反馈回本国市场，汇率主要影响海外市场收益。
In this paper, we investigate the pattern of dynamic interactions among the prices of those stocks that are cross‐listed on the three major stock markets of the world, i.e. New York, London and Tokyo. Major findings are: first, regardless of the nationality of stocks, innovations in the ‘home’ market returns are always fed into the returns in the ‘overseas’ markets, with the former causing the latter in the Granger sense. However, innovations in the New York market returns of foreign stocks are fed back into their respective home markets, contributing to the price discovery there. Second, the ‘succeeding’ overseas market, which operates immediately after the home market, plays a dual‐role: it conducts the home market innovations to the next‐opening overseas market, as well as adds its own innovations. Third, the exchange rate changes substantially influence the overseas market returns, but not the home market returns. The exchange rates appear to play a role in the transmission mechanism mainly via the inter‐market price parity.