메뉴 건너뛰기




Volumn 32, Issue 6, 2008, Pages 947-960

A tale of two prices: Liquidity and asset prices in multiple markets

Author keywords

American depositary receipts (ADRs); Dual listing; Liquidity; Premium; Turnover

Indexed keywords


EID: 43049157761     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.07.002     Document Type: Article
Times cited : (58)

References (54)
  • 2
    • 0000552715 scopus 로고
    • Limited market participation and volatility of asset prices
    • Allen Franklin., and Gale D. Limited market participation and volatility of asset prices. American Economic Review 84 (1994) 933-955
    • (1994) American Economic Review , vol.84 , pp. 933-955
    • Allen, Franklin.1    Gale, D.2
  • 4
    • 0013068840 scopus 로고    scopus 로고
    • Illiquidity and stock returns: cross-section and time series effects
    • Amihud Y. Illiquidity and stock returns: cross-section and time series effects. Journal of Financial Markets 5 (2002) 31-56
    • (2002) Journal of Financial Markets , vol.5 , pp. 31-56
    • Amihud, Y.1
  • 6
    • 84977725247 scopus 로고
    • Liquidity, maturity and the yields on US maturity securities
    • Amihud Y., and Mendelson H. Liquidity, maturity and the yields on US maturity securities. Journal of Finance 46 (1991) 1411-1425
    • (1991) Journal of Finance , vol.46 , pp. 1411-1425
    • Amihud, Y.1    Mendelson, H.2
  • 7
    • 0031234564 scopus 로고    scopus 로고
    • Market microstructure and securities values: evidence from the Tel Aviv exchange
    • Amihud Y., Mendelson H., and Lauterbach B. Market microstructure and securities values: evidence from the Tel Aviv exchange. Journal of Financial Economics 45 (1997) 365-390
    • (1997) Journal of Financial Economics , vol.45 , pp. 365-390
    • Amihud, Y.1    Mendelson, H.2    Lauterbach, B.3
  • 9
    • 33745121556 scopus 로고    scopus 로고
    • The economic consequences of increased disclosure: Evidence from international cross-listings
    • Bailey Warren., Karolyi A.G., and Salva C. The economic consequences of increased disclosure: Evidence from international cross-listings. Journal of Financial Economics 81 (2006) 175-213
    • (2006) Journal of Financial Economics , vol.81 , pp. 175-213
    • Bailey, Warren.1    Karolyi, A.G.2    Salva, C.3
  • 10
    • 43049176286 scopus 로고    scopus 로고
    • Berkowitz, Daniel., Pistor, Katharina., Richard, Jean-Francois., 2000, Economic Development, Legality, and the Transplant Effect, University of Michigan Working Paper No. 308.
    • Berkowitz, Daniel., Pistor, Katharina., Richard, Jean-Francois., 2000, Economic Development, Legality, and the Transplant Effect, University of Michigan Working Paper No. 308.
  • 11
    • 33244475810 scopus 로고    scopus 로고
    • Macromomentum: returns predictability in international equity indices
    • Bhojraj Sanjeev., and Swaminathan B. Macromomentum: returns predictability in international equity indices. Journal of Business 79 (2006) 429-451
    • (2006) Journal of Business , vol.79 , pp. 429-451
    • Bhojraj, Sanjeev.1    Swaminathan, B.2
  • 12
    • 43049159178 scopus 로고    scopus 로고
    • Blouin, Jennifer L., Hail, Luzi., Yetman, Michelle., 2005. Capital gains taxes, pricing spreads and arbitrage: evidence from US cross-listed firms. European Finance Association 2005 Moscow Meetings Paper.
    • Blouin, Jennifer L., Hail, Luzi., Yetman, Michelle., 2005. Capital gains taxes, pricing spreads and arbitrage: evidence from US cross-listed firms. European Finance Association 2005 Moscow Meetings Paper.
  • 14
    • 21144474749 scopus 로고
    • Liquidity as a choice variable: a lesson from the Japanese Government bond market
    • Boudoukh J., and Whitelaw R.F. Liquidity as a choice variable: a lesson from the Japanese Government bond market. Review of Financial Studies 6 (1993) 265-292
    • (1993) Review of Financial Studies , vol.6 , pp. 265-292
    • Boudoukh, J.1    Whitelaw, R.F.2
  • 15
    • 0000069353 scopus 로고    scopus 로고
    • Alternative factors specifications, security characteristics, and the cross-section of expected stock returns
    • Brennan M.J., Chordia T., and Subrahmanyam A. Alternative factors specifications, security characteristics, and the cross-section of expected stock returns. Journal of Financial Economics 49 (1998) 345-373
    • (1998) Journal of Financial Economics , vol.49 , pp. 345-373
    • Brennan, M.J.1    Chordia, T.2    Subrahmanyam, A.3
  • 16
    • 0030191751 scopus 로고    scopus 로고
    • Market microstructure and asset pricing: on the compensation for illiquidity in stock returns
    • Brennan M.J., and Subrahmanyam A. Market microstructure and asset pricing: on the compensation for illiquidity in stock returns. Journal of Financial Economics 41 (1996) 441-464
    • (1996) Journal of Financial Economics , vol.41 , pp. 441-464
    • Brennan, M.J.1    Subrahmanyam, A.2
  • 17
    • 43049152881 scopus 로고    scopus 로고
    • Bris, Arturo., Goetzmann, William N., Zhu, Ning.,2004. Efficiency and the Bear: Short Sales and Market Around the World, Yale ICF Working Paper No. 02-45.
    • Bris, Arturo., Goetzmann, William N., Zhu, Ning.,2004. Efficiency and the Bear: Short Sales and Market Around the World, Yale ICF Working Paper No. 02-45.
  • 18
    • 0032324943 scopus 로고    scopus 로고
    • Information asymmetry, market segmentation and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares
    • Chakravarty S., Sarkar A., and Wu L. Information asymmetry, market segmentation and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares. Journal of International Financial Markets, Institutions and Money 8 (1998) 325-355
    • (1998) Journal of International Financial Markets, Institutions and Money , vol.8 , pp. 325-355
    • Chakravarty, S.1    Sarkar, A.2    Wu, L.3
  • 22
    • 84936823769 scopus 로고
    • Capital market equilibrium with transaction costs
    • Constantinides G. Capital market equilibrium with transaction costs. Journal of Political Economy 94 (1986) 842-862
    • (1986) Journal of Political Economy , vol.94 , pp. 842-862
    • Constantinides, G.1
  • 24
    • 0000110377 scopus 로고    scopus 로고
    • How are stock prices affected by the location of trade?
    • Dabora E., and Froot K.A. How are stock prices affected by the location of trade?. Journal of Financial Economics 53 (1999) 189-217
    • (1999) Journal of Financial Economics , vol.53 , pp. 189-217
    • Dabora, E.1    Froot, K.A.2
  • 26
    • 43049154466 scopus 로고    scopus 로고
    • De Jong, Abe., Rosenthal, Leonard., Van Dijk, Mathijs., A. 2004. The Limits of Arbitrage: Evidence from Dual-Listed Companies. European Finance Association 2004 Maastricht Meetings Paper.
    • De Jong, Abe., Rosenthal, Leonard., Van Dijk, Mathijs., A. 2004. The Limits of Arbitrage: Evidence from Dual-Listed Companies. European Finance Association 2004 Maastricht Meetings Paper.
  • 27
    • 0348197911 scopus 로고    scopus 로고
    • Why are foreign firms that list in the US worth more?
    • Doidge C., Karolyi A.G., and Stulz R. Why are foreign firms that list in the US worth more?. Journal of Financial Economics 71 2 (2004) 205-238
    • (2004) Journal of Financial Economics , vol.71 , Issue.2 , pp. 205-238
    • Doidge, C.1    Karolyi, A.G.2    Stulz, R.3
  • 28
    • 0003313336 scopus 로고    scopus 로고
    • Is information risk a determinant of asset returns?
    • Easley D., Hvidkjaer S., and O'Hara M. Is information risk a determinant of asset returns?. Journal of Finance 57 (2002) 2185-2221
    • (2002) Journal of Finance , vol.57 , pp. 2185-2221
    • Easley, D.1    Hvidkjaer, S.2    O'Hara, M.3
  • 29
    • 0037317053 scopus 로고    scopus 로고
    • A simple measure of the intensity of capital controls
    • Edison H.J., and Warnock F.E. A simple measure of the intensity of capital controls. Journal of Empirical Finance 10 (2003) 81-103
    • (2003) Journal of Empirical Finance , vol.10 , pp. 81-103
    • Edison, H.J.1    Warnock, F.E.2
  • 30
    • 0036389605 scopus 로고    scopus 로고
    • Forecasting exchange rates: do banks know better?
    • Eun C.S., and Sabherwal S. Forecasting exchange rates: do banks know better?. Global Finance Journal 13 (2002) 195-215
    • (2002) Global Finance Journal , vol.13 , pp. 195-215
    • Eun, C.S.1    Sabherwal, S.2
  • 31
    • 0000928969 scopus 로고
    • Risk, return, and equilibrium: Empirical tests
    • Fama E.F., and MacBeth J.D. Risk, return, and equilibrium: Empirical tests. Journal of Political Economy 81 (1973) 607-636
    • (1973) Journal of Political Economy , vol.81 , pp. 607-636
    • Fama, E.F.1    MacBeth, J.D.2
  • 32
    • 0002357241 scopus 로고    scopus 로고
    • The effects of market segmentation and investor recognition on asset prices: evidence from foreign stocks listing in the United States
    • Foerster S.R., and Karolyi A. The effects of market segmentation and investor recognition on asset prices: evidence from foreign stocks listing in the United States. Journal of Finance 54 (1999) 981-1013
    • (1999) Journal of Finance , vol.54 , pp. 981-1013
    • Foerster, S.R.1    Karolyi, A.2
  • 33
    • 43049165412 scopus 로고    scopus 로고
    • Gagnon, Louis., Karolyi, Andrew., 2003. Multi-market Trading and Arbitrage. Working paper, Ohio State University.
    • Gagnon, Louis., Karolyi, Andrew., 2003. Multi-market Trading and Arbitrage. Working paper, Ohio State University.
  • 34
    • 43049176285 scopus 로고    scopus 로고
    • Grammig, Joachim., Melvin, Michael., Schlag, Christian., 2001. Price Discovery in International Equity Trading. Working Paper, Catholique de Louvain - Center for Operations Research and Economics.
    • Grammig, Joachim., Melvin, Michael., Schlag, Christian., 2001. Price Discovery in International Equity Trading. Working Paper, Catholique de Louvain - Center for Operations Research and Economics.
  • 35
    • 12744277830 scopus 로고    scopus 로고
    • Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects
    • Grammig J., Melvin M., and Schlag C. Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects. Journal of Empirical Finance 12 (2005) 139-165
    • (2005) Journal of Empirical Finance , vol.12 , pp. 139-165
    • Grammig, J.1    Melvin, M.2    Schlag, C.3
  • 36
    • 43049159179 scopus 로고    scopus 로고
    • Hasbrouck, Joel., 2005. Trading Costs and Returns for US Equities: The Evidence from Daily Data. Working paper, New York University.
    • Hasbrouck, Joel., 2005. Trading Costs and Returns for US Equities: The Evidence from Daily Data. Working paper, New York University.
  • 37
    • 43049183077 scopus 로고    scopus 로고
    • Jain, Ravi., Xia, Yihong., Wu, Matthew Q., 2004. Illiquidity and Closed-end Country Fund Discounts. Working paper, University of Pennsylvania.
    • Jain, Ravi., Xia, Yihong., Wu, Matthew Q., 2004. Illiquidity and Closed-end Country Fund Discounts. Working paper, University of Pennsylvania.
  • 38
    • 84993901781 scopus 로고
    • The effect of market segmentation and illiquidity on asset prices: evidence from exchange listings
    • Kadlec G., and McConnell J. The effect of market segmentation and illiquidity on asset prices: evidence from exchange listings. Journal of Finance 49 (1994) 611-636
    • (1994) Journal of Finance , vol.49 , pp. 611-636
    • Kadlec, G.1    McConnell, J.2
  • 39
    • 43049160806 scopus 로고    scopus 로고
    • Karolyi, Andrew., Li, Lianfa., 2003. A Resolution of the Chinese Discount Puzzle. Working Paper, Ohio State University.
    • Karolyi, Andrew., Li, Lianfa., 2003. A Resolution of the Chinese Discount Puzzle. Working Paper, Ohio State University.
  • 40
    • 4444362087 scopus 로고    scopus 로고
    • The role of ADRs in the development of emerging equity markets
    • Karolyi A. The role of ADRs in the development of emerging equity markets. Review of Economics and Statistics 86 3 (2004) 670-690
    • (2004) Review of Economics and Statistics , vol.86 , Issue.3 , pp. 670-690
    • Karolyi, A.1
  • 42
    • 0000859303 scopus 로고
    • Continuous auctions and insider trading
    • Kyle A.S. Continuous auctions and insider trading. Econometrica 53 (1985) 1315-1335
    • (1985) Econometrica , vol.53 , pp. 1315-1335
    • Kyle, A.S.1
  • 44
    • 43049169972 scopus 로고    scopus 로고
    • Menkveld, Albert J., Koopman, S.J., Lucas, Andre., 2003. Round-the-Clock Price Discovery for Cross-Listed Stocks: US Dutch Evidence. European Finance Association 2003 Glasgow Meetings Paper.
    • Menkveld, Albert J., Koopman, S.J., Lucas, Andre., 2003. Round-the-Clock Price Discovery for Cross-Listed Stocks: US Dutch Evidence. European Finance Association 2003 Glasgow Meetings Paper.
  • 46
    • 0001373089 scopus 로고    scopus 로고
    • The information content of stock markets: why do emerging markets have synchronous stock price movements?
    • Morck R., Yeung B., and Yu W. The information content of stock markets: why do emerging markets have synchronous stock price movements?. Journal of Financial Economics 58 (2000) 215-260
    • (2000) Journal of Financial Economics , vol.58 , pp. 215-260
    • Morck, R.1    Yeung, B.2    Yu, W.3
  • 49
    • 43049176284 scopus 로고    scopus 로고
    • Petersen, Mitchell., 2005. Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches. Working paper, Kellogg School of Management, Northwestern University and NBER.
    • Petersen, Mitchell., 2005. Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches. Working paper, Kellogg School of Management, Northwestern University and NBER.
  • 50
    • 38249018871 scopus 로고
    • The seemingly anomalous price behavior of royal dutch/ shell and unilever N.V./ PLC
    • Rosenthal L., and Young L.C. The seemingly anomalous price behavior of royal dutch/ shell and unilever N.V./ PLC. Journal of Financial Economics 26 (1990) 123-142
    • (1990) Journal of Financial Economics , vol.26 , pp. 123-142
    • Rosenthal, L.1    Young, L.C.2
  • 51
    • 0001800524 scopus 로고
    • Discounts on restricted stocks: the impact of illiquidity on stock prices
    • Silber W. Discounts on restricted stocks: the impact of illiquidity on stock prices. Financial Analyst Journal 47 (1991) 60-64
    • (1991) Financial Analyst Journal , vol.47 , pp. 60-64
    • Silber, W.1
  • 52
    • 34447271349 scopus 로고    scopus 로고
    • ADRs and US market sentiment
    • Suh T.J. ADRs and US market sentiment. Journal of Investing 12 (2003) 87-95
    • (2003) Journal of Investing , vol.12 , pp. 87-95
    • Suh, T.J.1
  • 53
    • 0032354194 scopus 로고    scopus 로고
    • Transaction costs and asset prices: a dynamic equilibrium model
    • Vayanos D. Transaction costs and asset prices: a dynamic equilibrium model. Review of Financial Studies 11 (1998) 1-58
    • (1998) Review of Financial Studies , vol.11 , pp. 1-58
    • Vayanos, D.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.