TRANSATLANTIC CAPITAL MARKET PRICE DISCOVERY DURING A FINANCIAL CRISIS

Authors


Stephen Norman, University of Washington – Tacoma, 1900 Commerce St, Campus Box 358420, Tacoma, WA 98402-3100, USA. Tel: 253-692-4827; Fax: 253-692-4523; Email: normanse@uw.edu. Portions of this paper were completed while the first author was at Coe College, Cedar Rapids, Iowa, USA. We thank the referees for helpful comments on the paper.

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.

Ancillary