Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods
提出基于状态空间模型的通用方法，研究跨市场上市股票在母国和美国市场全天候的价格发现过程，并应用于荷兰股票，发现纽约证券交易所对其价格发现作用较小。
U.S. trading in non-U.S. stocks has grown dramatically. Around the clock, these stocks trade in the home market, in the U.S. market, and, potentially, in both markets simultaneously. We develop a general methodology based on a state space model to study 24-hour price discovery in a multiple-markets setting. As opposed to the standard variance ratio approach, this model deals naturally with (1) simultaneous quotes in an overlap, (2) missing observations in a nonoverlap, (3) noise due to transitory microstructure effects, and (4) contemporaneous correlation in returns due to market-wide factors. We apply our model to Dutch stocks, cross-listed in the United States. Our findings suggest a minor role for the New York Stock Exchange in price discovery for Dutch shares, in spite of its nontrivial and growing market share.