Price Discovery Between the New York Stock Exchange and Istanbul Stock Exchange

被引：2

作者：

Ascioglu, Asli ^{[1
]}

Karahan, Mehmet Oguz ^{[2
]}

Yilmaz, Neslihan ^{[2
]}

机构：

[1] Bryant Univ, Dept Finance, Smithfield, RI USA

[2] Bogazici Univ, Dept Management, Istanbul, Turkey

来源：

EMERGING MARKETS FINANCE AND TRADE | 2015年 / 51卷 / 01期

关键词：

cross listing; Istanbul Stock Exchange; price discovery; tick size; MARKETS; COMPONENTS; SECURITY; TRADES;

D O I：

10.1080/1540496X.2015.1011542

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We study the price discovery process between the New York Stock Exchange (NYSE) and Istanbul Stock Exchange (ISE). We examine the only cross-listed stock in those exchanges, Turkcell, for the overlapping trading periods. Utilizing the information share (IS) and the common factor component (GG) approaches, we estimate the contribution of each market to the price discovery process. We find that each market has relatively close GG coefficients. IS estimates indicate that a significant portion of Turkcell's price discovery occurs on the NYSE. The smaller share of price discovery on the ISE may be attributed to the discrete tick sizes in the ISE.

引用

页码：247 / 258

页数：12

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