Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods
- 1 April 2007
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 25 (2) , 213-225
- https://doi.org/10.1198/073500106000000594
Abstract
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 g...Keywords
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