Department of Economics and Business Economics

Price discovery in dual-class shares across multiple markets

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DOI

This paper proposes a new measure of price discovery that uses the spectral
decomposition. The methodology is especially important in the context of large price systems, such as interest rate parities with spot and futures contracts or dual-class shares in multiple markets. We employ high frequency data to study price discovery in dual-class Brazilian stocks and their ADRs. We find that the foreign market is at least as informative as the home market and that shocks in the dual-class premium entail a permanent effect in normal times, but transitory in periods of financial distress
Original languageEnglish
JournalThe Journal of Futures Markets
Volume38
Issue number1
Pages (from-to)129-155
ISSN0270-7314
DOIs
Publication statusPublished - 1 Jan 2018

    Research areas

  • common share, information share, preferred share, spectral decomposition

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