ORCID Profile
0000-0002-6558-5551
Current Organisation
University of Adelaide
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Publisher: Elsevier BV
Date: 03-2018
Publisher: Elsevier BV
Date: 08-2022
Publisher: Elsevier BV
Date: 12-2021
Publisher: Elsevier BV
Date: 06-2015
Publisher: Elsevier BV
Date: 09-2021
Publisher: Informa UK Limited
Date: 11-08-2016
Publisher: Elsevier BV
Date: 09-2023
Publisher: Elsevier BV
Date: 06-2023
Publisher: Elsevier BV
Date: 03-2012
Publisher: Wiley
Date: 14-11-2019
DOI: 10.1111/IRFI.12289
Abstract: We develop a model to assess the quote dynamics of stocks listed in multiple markets. This model allows us to explain the price formation mechanism and the degree of information spillover. We show that this model can be transformed to assess the dynamics of the spreads, the efficient price, and the market's relative premium for cross‐listed stocks. Applying our model to a s le of 64 Canadian companies listed in the United States and Canada, we document strong intermarket competition among liquidity providers prices mainly adjust to trades in their respective market, suggesting some degree of informational frictions and U.S. trades have a greater price impact than Canadian trades. We further find that the U.S. market is informationally dominant due to its more competitive quote‐setting behavior and larger incorporation of informational shocks.
No related grants have been discovered for Ivan Indriawan.