TRANSATLANTIC CAPITAL MARKET PRICE DISCOVERY DURING A FINANCIAL CRISIS |
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| Authors: | Christopher Hoag Stephen Norman |
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| Institution: | 1. Trinity College, Hartford, Connecticut, USA;2. University of Washington, Tacoma, Washington, USA |
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| Abstract: | Previous results show relatively small amounts of time variation in the Hasbrouck (1995) information share across international markets. Using data from a security that was cross‐listed on the New York and London Stock Exchanges in the 1860s, we find that the information share changes dramatically during a financial crisis that began in the foreign market. |
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| Keywords: | cross‐listings financial crisis information shares G14 G15 N20 |
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