TRANSATLANTIC CAPITAL MARKET PRICE DISCOVERY DURING A FINANCIAL CRISIS
Article first published online: 5 JUL 2012
© 2012 The Authors. Bulletin of Economic Research © 2012 Blackwell Publishing Ltd and the Board of Trustees of the Bulletin of Economic Research.
Bulletin of Economic Research
Volume 65, Issue 1, pages 1–9, January 2013
How to Cite
Hoag, C. and Norman, S. (2013), TRANSATLANTIC CAPITAL MARKET PRICE DISCOVERY DURING A FINANCIAL CRISIS. Bulletin of Economic Research, 65: 1–9. doi: 10.1111/j.1467-8586.2012.00452.x
- Issue published online: 10 DEC 2012
- Article first published online: 5 JUL 2012
- financial crisis;
- information shares
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.