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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국경영과학회 Management Science and Financial Engineering Management Science and Financial Engineering Vol.20 No.1
- 발행연도
- 2014.5
- 수록면
- 11 - 16 (6page)
이용수
초록· 키워드
오류제보하기
Extending from Grossman and Stiglitz (1980), we provide an asset pricing model of a synchronously traded crosslisted pair under information asymmetry. Following Garbade and Silber (1983), the model further embraces multimarket price discovery in a dynamic framework. The implications are as follows: The price sensitivity of holdings is higher for informed traders than for uninformed traders; the largest cross-border price spread occurs in the absence of arbitrageurs; price discovery is more likely in markets with a larger population of informed traders; and parity convergence accelerates with a higher price elasticity of demand of arbitrageurs.
목차
ABSTRACT
1. INTRODUCTION AND IMPLICATIONS
2. PRICE DISCOVERY OF A SYNCHRONOUSLY TRADED CROSS-LISTED PAIR
3. PRICE DISCOVERY AND ERRORCORRECTION DYNAMICS
REFERENCES
참고문헌 (10)
참고문헌 신청
1. [학술지(정기간행물)] - Eun, C / 2003 / Cross-border listings and price discovery: Evidence from U.S.-listed Canadian stocks / Journal of Finance 58 : 549 ~ 574
2. [학술지(정기간행물)] - Figuerola-Ferretti, I / 2010 / Modeling and me-asuring price discovery in commodity markets / Journal of Econometrics 158 : 95 ~ 107
3. [학술지(정기간행물)] - Gagnon, L / 2010 / Multi-Market trading and arbitrage / Journal of Financial Economics 97 : 53 ~ 80
4. [학술지(정기간행물)] - Garbade, K. D. / 1983 / Price movements and price discovery in futures and cash markets / Review of Economics and Statistics 65 : 289 ~ 297
5. [학술지(정기간행물)] - Gonzalo, J. / 1995 / Estimation of common long-memory components in cointegrated systems / Journal of Business and Economic Statistics 13 : 1 ~ 9
2. [학술지(정기간행물)] - Figuerola-Ferretti, I / 2010 / Modeling and me-asuring price discovery in commodity markets / Journal of Econometrics 158 : 95 ~ 107
3. [학술지(정기간행물)] - Gagnon, L / 2010 / Multi-Market trading and arbitrage / Journal of Financial Economics 97 : 53 ~ 80
4. [학술지(정기간행물)] - Garbade, K. D. / 1983 / Price movements and price discovery in futures and cash markets / Review of Economics and Statistics 65 : 289 ~ 297
5. [학술지(정기간행물)] - Gonzalo, J. / 1995 / Estimation of common long-memory components in cointegrated systems / Journal of Business and Economic Statistics 13 : 1 ~ 9
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UCI(KEPA) : I410-ECN-0101-2015-320-001579495