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dc.contributor.authorDassanayake, Wajira
dc.contributor.authorLi, Xiaoming
dc.contributor.authorBuhr, Klaus
dc.date.accessioned2015-05-03T20:49:36Z
dc.date.available2015-05-03T20:49:36Z
dc.date.issued2013
dc.identifier.urihttps://hdl.handle.net/10652/2791
dc.description.abstractThis study investigates the price discovery of selected cross-listed stocks on the Australian Stock Exchange (ASX) and the New Zealand Stock Exchange (NZX). It examines prices and exchange rates over the period 1st January 2008 to 31st December 2011 when both markets were in a bear trading phase. Using intraday data of three Australian stocks and five New Zealand stocks, we investigate the price discovery dynamics by evaluating the vector error correction mechanism (VECM), Hasbrouck’s (1995) information share (IS) and Grammig et al.’s (2005) conditional information share (CIS). Consistent with previous research, we find that the price series of the sample of crosslisted stocks on the ASX and the NZX are cointegrated. We also find that the price discovery takes place mostly on the home market for the Australian domiciled firms and for all but one of the New Zealand domiciled firms. This is true in terms of both Hasbrouck’s (1995) information share and Grammig et al.’s (2005) conditional information share. However, when we evaluate price discovery dynamics over time using the information share approach, our findings differ from those of Frijns et al. (2010). In bull market conditions they find an increasing trend in the significance of the ASX. In a bear market setting, we find the NZX growing in importance with a declining significance for the ASX for the Australian as well as New Zealand domiciled companies.en_NZ
dc.language.isoenen_NZ
dc.publisherAuckland Region Accountingen_NZ
dc.subjectAustralian Stock Exchange (ASX)en_NZ
dc.subjectNew Zealand Stock Exchange (NZX)en_NZ
dc.subjectstock pricesen_NZ
dc.subjectsharesen_NZ
dc.titleAn investigation of the price discovery for cross-listed stocks: Evidence from New Zealand and Australian stock marketsen_NZ
dc.typeConference Contribution - Oral Presentationen_NZ
dc.rights.holderThe Authorsen_NZ
dc.subject.marsden150299 Banking, Finance and Investment not elsewhere classifieden_NZ
dc.subject.marsden150507 Pricing (incl. Consumer Value Estimation)en_NZ
dc.identifier.bibliographicCitationDassanayake, W., Li, X., and Buhr, K. (2013). An investigation of the price discovery for cross-listed stocks: Evidence from New Zealand and Australian stock markets. Paper presented at Auckland Region Accounting Conference, Auckland, New Zealand.en_NZ
unitec.institutionUnitec Institute of Technologyen_NZ
unitec.conference.titleAuckland Region Accounting Conferenceen_NZ
unitec.conference.orgUnitec Institute of Technologyen_NZ
unitec.conference.locationAuckland: New Zealanden_NZ
unitec.conference.sdate2013-11-29
unitec.conference.edate2013-11-29
unitec.peerreviewedyesen_NZ
unitec.identifier.roms55657en_NZ


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