Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms

Frijns, Bart; Indriawan, Ivan; Tourani‐Rad, Alireza

doi:10.1016/j.jempfin.2014.05.001

Cited by 40 publications

(30 citation statements)

References 35 publications

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“…Given such an increase in volatility, we interpret the increase in pricing error as a sign that more information is incorporated in the US market than in Canada. In this regard, our finding is consistent with Frijns et al (), who document that price discovery shifts to the US during macroeconomic news announcements. The results remain valid even after we split the sample into Canadian and US announcements.…”

Section: Resultssupporting

confidence: 93%

Market Quality around Macroeconomic News Announcements: Evidence from the US and Canadian Markets

et al. 2018

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We investigate changes in market quality in the US and Canada during macroeconomic news announcements. We measure market quality in terms of returns dependence, the cost of trading, and pricing errors. Using a sample of cross‐listed stocks and macroeconomic news from both countries, we document that market quality is generally higher in the US than in Canada. The pattern of intraday serial dependence in returns reveals that it takes investors about 5 min less to react to order imbalances in the US than in Canada. We further observe that, around announcement periods, transaction costs increase more in Canada than in the US, suggesting that the US market offers better liquidity. More information is also incorporated into the US market. These results support the view that the US is a prime target for cross‐listing, and are robust to different types of assets and time specifications.

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Section: Resultssupporting

confidence: 93%

Market Quality around Macroeconomic News Announcements: Evidence from the US and Canadian Markets

et al. 2018

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“…In other words, the trading venue with the heavier intensity of informed trades contributes more to the price discovery of cross-listed pairs. Frijns et al (2015) examine the impact of macroeconomic news announcement on price discovery for a sample of Canadian firms cross-listed on the NYSE over the period 2004 to 2011. They demonstrate that there are significant shifts in price discovery on days with macroeconomic news announcement, where for most stocks and most announcements price discovery on the NYSE increases on days with macroeconomic news announcements.…”

Section: Literature Reviewmentioning

confidence: 99%

The determinants of price discovery: Evidence from US-Canadian cross-listed shares

Frijns

Gilbert

Tourani‐Rad

2015

Journal of Banking & Finance

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“…Now the question arises why price discovery contribution is changing over time? There are various studies those have analysed the time-variation in price discovery and its determinants (Fricke and Menkhoff, 2011;Frijns et al, 2015aFrijns et al, , 2015bMizrach and Neely, 2008). In Indian context, there is no study, so far, which has analysed the time-variation of price discovery measures.…”

Section: Discussion Of Resultsmentioning

confidence: 99%

“…Most of the recent studies have used common factor methods (CS and IS methods) to examine the price discovery process (Chen and Gau, 2010;Fricke and Menkhoff, 2011;Frijns et al, 2015aFrijns et al, , 2015bLien and Shrestha, 2014;Narayan et al, 2014). These methods have been discussed and compared in a detailed manner in Baillie et al (2002), Putniņš (2013), and (Narayan and Smyth, 2015).…”

Section: Literature Reviewmentioning

confidence: 99%

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Price discovery in Indian stock index futures market: new evidence based on intraday data

Inani

2017

IJICBM

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This study revisits price discovery process in Indian stock index futures market for spot and futures of S&P CNX Nifty, by using high-frequency one-minute time-interval data for the period from January 2011 to August 2015 to gain fresh insights. Stationarity and cointegration tests reveal that spot and futures prices are I (1) and cointegrated. Three different econometric methodologies -component share method of Gonzalo and Granger (1995), information share method of Hasbrouck (1995), and modified information share of Lien and Shrestha (2009) have been employed to determine the extent of price discovery contribution by spot and futures markets. The results reveal that futures market is performing its price discovery function which satisfies the transaction cost hypothesis. Also, these results support the notion that futures market is more efficient vis-à-vis spot market in India. Price discovery is a main function of futures market and has implications for asset pricing, portfolio allocation, investment strategy formation, and market efficiency. This study might be helpful for regulators and policymakers to form market structure policies and guidelines for equity markets.

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Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms

Cited by 40 publications

References 35 publications

Market Quality around Macroeconomic News Announcements: Evidence from the US and Canadian Markets

Market Quality around Macroeconomic News Announcements: Evidence from the US and Canadian Markets

The determinants of price discovery: Evidence from US-Canadian cross-listed shares

Price discovery in Indian stock index futures market: new evidence based on intraday data

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