Cross-listing, price discovery and the informativeness of the trading process

This paper analyzes the price discovery process of a set of Spanish stocks cross-listed at the NYSE. Our methodology distinguishes between two sources of information asymmetries. Market-specific information that is revealed through the trading process and public disclosures simultaneously revealed to both markets but subject to informed judgments. We compute the information share of the Spanish and U.S. trading activity during the daily 2-hour overlapping interval. Empirical results show that the NYSE contribution to the price discovery process is not negligible. But the NYSE information is basically trade-unrelated

CROSS-LISTING, PRICE DISCOVERY AND THE INFORMATIVENESS OF THE TRADING PROCESS

This paper analyzes the price discovery process of securities that trade at multiple markets with trading sessions that totally or partially overlap. Building on Hasbrouck (1995) information share approach, we introduce a methodology that distinguishes two sources of information asymmetries between markets: trade-related and trade-unrelated informative shocks. This approach determines how much of each market?s relative contribution to the price discovery process during the overlapping period is attributable to its own trading activity. We provide empirical evidence on the contribution of the NYSE in the price discovery process of the Spanish cross-listed stocks during the daily two-hour overlapping interval. Este trabajo analiza el proceso de formación del precio de acciones negociadasen varios mercados con sesiones de negociación total o parcialmente solapadas. A partirdel modelo propuesto por Hasbrouck (1995), introducimos una metodología quedistingue dos fuentes de asimetría de información entre los mercados: la inferida a partirde la negociación de cada mercado e información ajena a la negociación. El objetivo esdeterminar en qué medida la contribución relativa de cada mercado al proceso deformación del precio durante el período de solapamiento es relevante y que parte de estaes atribuible a su propia actividad de negociación. Se obtiene evidencia empírica de lacontribución del NYSE en el proceso de formación del precio de las acciones españolasdurante el intervalo de dos horas de solapamiento diario.Negociación en varios mercados, Formación del precio, Shocks de negociación, ADRs Cross-listing, price discovery, trade shocks, ADRs.

Asymmetries in Bid-Ask Responses to Innovations in the Trading Process.

This paper has benefited from the support of the Spanish DGICYT project #PB98-0030 and the European Project on VPM-Improving Human Research Potential, HPRN-CT-2002-00232. The authors are grateful for the comments received from an anonymous referee and from Mikel Tapia, Ignacio Peña, Winfried Pohlmeier and the attendants to the Econometrics Research Seminar at C.O.R.E., Université Catholique de Louvain, Belgium. We also appreciate the suggestions of participants at the CAF Market Microstructure and High Frequency Data in Finance Workshop, August 2001, Sønderborg (Denmark), and the European Financial Association Meeting, August 2001, Barcelona (Spain)Market microstructure; Bid and ask time series; VEC models; Adverse-selection costs; Asymmetric dynamics;

Factor decomposition of spatial disparities: The case of the European regions

This note examines the evolution and origin of regional disparities in per capita GDP in the European Union. To this end, we propose a new methodology that allows us to analze the role played in explaining the variability of per capita GDP across the European regions by spatial differences in labour productivity, employment rate and the ratio of active to total population.

Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis.

This paper studies the role that trading activity plays in the price discovery process of a NYSE-listed stock. We measure the expected information content of each trade by estimating its permanent price impact. It depends on observable trade features and market conditions. We also estimate the time required for quotes to incorporate all the information content of a particular trade. Our results show that price discovery is faster after risky trades and also at the extreme intervals of the session. The quote adjustment to trade-related shocks is progressive and this causes risk persistency and unusual short-term market conditions.Microstructure; Adverse selection costs; Trade-related information; High-frequency data;

Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis

This paper studies the role that trading activity plays in the price discovery process of a NYSE-listed stock. We measure the expected information content of each trade by estimating its permanent price impact. It depends on observable trade features and market conditions. We also estimate the time required for quotes to incorporate all the information content of a particular trade. Our results show that price discovery is faster after risky trades and also at the extreme intervals of the session. The quote adjustment to trade-related shocks is progressive and this causes risk persistency and unusual short-term market conditions.Publicad

On the bi-dimensionality of liquidity.

Variations in overall liquidity can be measured by simultaneous changes in both immediacy costs and depth. Liquidity changes, however, are ambiguous whenever both liquidity dimensions do not reinforce each other. In this paper, ambiguity is characterized using an instantaneous time-varying elasticity concept. Several bi-dimensional liquidity measures that cope with the ambiguity problem are constructed. First, it is shown that bi-dimensional measures are superior since commonalities in overall liquidity cannot be fully explained by the common factors in one-dimensional proxies of liquidity. Second, it is shown that an infinitesimal variation in either market volatility or trading activity augments the probability of observing an unambiguous liquidity adjustment. Ambiguity strongly depends on the expected (deterministic) component of volatility.liquidity; measurement; immediacy; depth; elasticity; ambiguity; bi-dimensional;

Interaction patterns of brain activity across space, time and frequency. Part I: methods

We consider exploratory methods for the discovery of cortical functional connectivity. Typically, data for the i-th subject (i=1...NS) is represented as an NVxNT matrix Xi, corresponding to brain activity sampled at NT moments in time from NV cortical voxels. A widely used method of analysis first concatenates all subjects along the temporal dimension, and then performs an independent component analysis (ICA) for estimating the common cortical patterns of functional connectivity. There exist many other interesting variations of this technique, as reviewed in [Calhoun et al. 2009 Neuroimage 45: S163-172]. We present methods for the more general problem of discovering functional connectivity occurring at all possible time lags. For this purpose, brain activity is viewed as a function of space and time, which allows the use of the relatively new techniques of functional data analysis [Ramsay & Silverman 2005: Functional data analysis. New York: Springer]. In essence, our method first vectorizes the data from each subject, which constitutes the natural discrete representation of a function of several variables, followed by concatenation of all subjects. The singular value decomposition (SVD), as well as the ICA of this new matrix of dimension [rows=(NT*NV); columns=NS] will reveal spatio-temporal patterns of connectivity. As a further example, in the case of EEG neuroimaging, Xi of size NVxNW may represent spectral density for electric neuronal activity at NW discrete frequencies from NV cortical voxels, from the i-th EEG epoch. In this case our functional data analysis approach would reveal coupling of brain regions at possibly different frequencies.Comment: Technical report 2011-March-15, The KEY Institute for Brain-Mind Research Zurich, KMU Osak