References
- Adelegan, O. J. (2008). Can regional cross-listings accelerate stock market development? Empirical evidence from Sub-Saharan Africa. International Monetary Fund Working Paper 09/99. Retrieved March 3, 2019, from https://www.imf.org/external/pubs/ft/wp/2009/wp0999.pdf
- Agarwal, S., Liu, C., & Rhee, S. G. (2007). Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London. Journal of International Money & Finance, 26(1), 46–16. https://doi.org/10.1016/j.jimonfin.2006.10.011
- Alexander, C. (2008). Practical financial econometrics: Market risk analysis. John Wiley & Sons.
- Ammer, J., Holland, S. B., Smith, D. C. & Warnock, F. E. (2012). US international equity investment. Journal of Accounting Research, 50(5), 1109–1139
- Bacidore, J. M., & Sofianos, G. (2002). Liquidity provision and specialist trading in NYSE-listed non-U.S. stocks. Journal of Financial Economics, 63(1), 133–158. https://doi.org/10.1016/S0304-405X(01)00092-7
- Baker, H. K., Nofsinger, J. R., & Weaver, D. G. (2002). International cross-listing and visibility. Journal of Financial & Quantitative Analysis, 37(3), 495–521. https://doi.org/10.2307/3594990
- Bekaert, G. (1995). Market integration and investment barriers in emerging equity markets. The World Bank Economic Review, 9(1), 75–107 doi:10.1093/wber/9.1.75
- Blume, M. E., & Goldstein, M. A. (1991). Differences in execution prices among the NYSE, the regionals, and the NASD. White Center for Financial Research Paper No. 4/92. Retrieved March 26, 2019, from https://papers.ssrn.com/sol3/papers.cfm?Abstract_id=979072
- Brooks, C. (2008). Introductory econometrics for finance. Cambridge University Press.
- Chen, J., Tourani-Rad, A., & Yi, R. (2016). Short sales and price discovery of Chinese cross-listed firms. International Journal of Managerial Finance, 12(4), 408–421
- Chen, K. C., Li, G., & Wu, L. (2010). Price discovery for segmented US-listed Chinese stocks: Location or market quality? Journal of Business Finance & Accounting, 37(1), 242–269. https://doi.org/10.1111/j.1468-5957.2009.02153.x
- Chisadza, M. W. (2014). Regional financial integration in Africa: Cross-listings as a form of regional financial integration. Anchor Academic Publishing.
- Dassanayake, W., Li, X., & Buhr, K. (2013). An investigation of the price discovery for cross-listed stocks: Evidence from New Zealand and Australian stock markets [Paper presentation]. Auckland region accounting conference, Auckland, New Zealand. Retrieved March 27, 2019, from https://unitec.researchbank.ac.nz/handle/10652/2791
- Ding, D. K., Harris, Frederick H.deB.., Lau, S. T., & McInish, T. H. (1999). An investigation of price discovery in informationally-linked markets: equity trading in Malaysia and Singapore. Journal of Multinational Financial Management, 9(3–4), 317–329 doi:10.1016/S1042-444X(99)00005-5
- Doidge, C., Karolyi, G. A., & Stulz, R. M. (2004). Why are foreign firms listed in the United States worth more? Journal of Financial Economics, 7(12), 205–238. https://doi.org/10.1016/S0304-405X(03)00183-1
- Domowitz, I., Glen, J., & Madhavan, A. (1997). Market segmentation and stock prices: Evidence from an emerging market. The Journal of Finance, 5(23), 1059–1085. https://doi.org/10.1111/j.1540-6261.1997.tb02725.x
- Domowitz, I., Glen, J., & Madhavan, A. (1998). International cross-listing and order flow migration: Evidence from an emerging market. The Journal of Finance, 5(36), 2001–2027. https://doi.org/10.1111/0022-1082.00081
- Duppati, G., Hou, Y. G., & Scrimgeour, F. (2017). The dynamics of price discovery for cross-listed stocks evidence from US and Chinese markets. Cogent Economics & Finance, 5(1), 1–23. Retrieved March 25, 2019, from. https://doi.org/10.1080/23322039.2017.1389675.
- Eun, C. S., & Sabherwal, S. (2003). Cross-border listings and price discovery: Evidence from U.S.-listed Canadian stocks. Journal of Finance, 5(82), 549–575. https://doi.org/10.1111/1540-6261.00537
- Flad, M., & Jung, R. C. (2008). A common factor analysis for the US and the German stock markets during overlapping trading hours. Journal of International Financial Markets, Institutions & Money, 18(5), 498–512. https://doi.org/10.1016/j.intfin.2007.07.005
- Frijns, B., Gilbert, A., & Tourani-Rad, A. (2010). Price discovery, cross-listings and exchange rates: Evidence from Australia and New Zealand. Journal of Banking & Finance, 34(3), 498–508. https://doi.org/10.1016/j.jbankfin.2009.08.014
- Gonzalo, J., & Granger, C. (1995). Estimation of common long-memory components in cointegrated systems. Journal of Business & Economic Statistics, 13(1), 27–35 doi:10.1080/07350015.1995.10524576
- Grammig, J., Melvin, M., & Schlag, C. (2005). Internationally cross-listed stock prices during overlapping trading hours: Price discovery and exchange rate effects. Journal of Empirical Finance, 12(1), 139–164. https://doi.org/10.1016/j.jempfin.2003.10.004
- Hail, L., & Leuz, C. (2009). Cost of capital effects and changes in growth expectations around US cross-listings. Journal of Financial Economics, 93(3), 428–454. https://doi.org/10.1016/j.jfineco.2008.09.006
- Hansda, S., & Ray, P. (2003). Stock market integration and dually listed stocks: Indian ADR and Domestic stock prices. Economic and Political Weekly, 38(8), 741–754.
- Hasbrouck, J. (1995). One security, many markets: Determining the contributions to price discovery. The Journal of Finance, 50(4), 1175–1199. https://doi.org/10.1111/j.1540-6261.1995.tb04054.x
- Hauser, S., Tanchuma, Y., & Yaari, U. (1998). International transfer of pricing information between dually listed stocks. Journal of Financial Research, 21(2), 139–157 doi:10.1111/jfir.1998.21.issue-2
- Hupperets, E., & Menkveld, B. (2000). Intraday Analysis of Market Integration. Tinbergen Institute Discussion Paper, No. 00-018/2, Tinbergen Institute, Amsterdam and Rotterdam. http://hdl.handle.net/10419/85501
- Johansen, S., & Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration with application to the demand for money. Oxford Bulletin of Economics and Statistics, 52(2), 169–209. https://doi.org/10.1111/j.1468-0084.1990.mp52002003.x
- Kadapakkam, P. R., Misra, L., & Tse, Y. (2003). International price discovery for emerging market stocks: Evidence from Indian GDRs. Review of Quantitative Finance & Accounting, 21(2), 179–199. https://doi.org/10.1023/A:1024843500510
- Karolyi, G. A. (2006). The world of cross-listings and cross-listings of the world: Challenging conventional wisdom. Review of Finance, 10(1), 99–152. https://doi.org/10.1007/s10679-006-6980-8
- Levine, R., & Schmukler, S. L. (2006). Internationalisation and stock market liquidity. Review of Finance, 10(1), 153–187. https://doi.org/10.1007/s10679-006-6981-7
- McCullough, K. (2018). Intraday information transmission in the South African equities market. African Finance Journal, 20(2), 1–20. https://hdl.handle.net/10520/EJC-139fddb738
- McInish, T. H., Shoesmith, G. L., & Wood, R. A. (1995). Cointegration, error correction, and price discovery on informationally linked security markets. Journal of Financial & Quantitative Analysis, 30(4), 563–579. https://doi.org/10.2307/2331277
- Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. The Journal of Finance, 4(23), 483–510. https://doi.org/10.1111/j.1540-6261.1987.tb04565.x
- Miller, D. P. (1999). The market reaction to international cross-listings: Evidence from depositary receipts. Journal of Financial Economics, 51(1), 103–123. https://doi.org/10.1016/S0304-405X(98)00045-2
- Neingo, P. N., & Tholana, T. (2016). Trends in productivity in the South African gold mining industry. Journal of the Southern African Institute of Mining & Metallurgy, 11(63), 283–290. http://dx.doi.org/10.17159/2411-9717/2016/v116n3a10
- Pascual, R., Pascual-Fuster, B., & Climent, F. (2006). Cross-listing, price discovery and the informativeness of the trading process. Journal of Financial Markets, 9(2), 144–161. https://doi.org/10.1016/j.finmar.2006.01.002
- Phylaktis, K., & Korczak, P. (2010). Related securities and price discovery: Evidence from NYSE-Listed non-U.S. Stocks Maastricht Meetings Paper: Cass Business School Research Paper. Retrieved February 20, 2019, from http://dx.doi.org/10.2139/ssrn.567104
- Qadan, M., & Yagil, J. (2012). Main or satellite? Testing causality-in-mean and variance for dually listed stocks. International Journal of Finance & Economics, 17(3), 279–289. https://doi.org/10.1002/ijfe.458
- Schreiber, P. S., & Schwartz, R. A. (1986). Price discovery in securities markets. The Journal of Portfolio Management, 12(4), 43–48. https://doi.org/10.3905/jpm.1986.409071
- Schwarz, T. V., & Szakmary, A. C. (1994). Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis. The Journal of Futures Markets (1986-1998), 14(2), 147 doi:10.1002/(ISSN)1096-9934
- Su, Q., & Chong, T. (2007). Determining the contributions to price discovery for Chinese cross-listed stocks. Pacific-Basin Finance Journal, 15(2), 140–153. https://doi.org/10.1016/j.pacfin.2006.07.002
- Yang, X., & Kun, P. (2014). Cross-border listings and price discovery. Evidence from Chinese companies triple-listed in Shanghai, Hong Kong and New York. Journal of Advanced Studies in Finance, 5(1), 66–103. https://journals.aserspublishing.eu/jasf/article/view/98