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TRANSATLANTIC CAPITAL MARKET PRICE DISCOVERY DURING A FINANCIAL CRISIS
Author(s) -
Hoag Christopher,
Norman Stephen
Publication year - 2013
Publication title -
bulletin of economic research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.227
H-Index - 29
eISSN - 1467-8586
pISSN - 0307-3378
DOI - 10.1111/j.1467-8586.2012.00452.x
Subject(s) - financial crisis , economics , price discovery , capital market , stock market , financial market , stock (firearms) , financial system , capital (architecture) , monetary economics , market data , financial economics , business , finance , macroeconomics , geography , archaeology , context (archaeology) , futures contract
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.