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International cross-listing and price discovery under trading concentration in the domestic market: Evidence from Japanese shares

Otsubo, Yoichi - In: Journal of empirical finance 25 (2014), pp. 36-51

Persistent link: https://www.econbiz.de/10010462089

International Cross-Listing and Price Discovery under Trading Concentration in the Domestic Market : Evidence from Japanese Shares

Otsubo, Yoichi - 2013

This study examines the role for the Tokyo and the New York Stock Exchange in price discovery for Japanese shares. The two markets' trading hours do not overlap and the trading volume concentrates in Tokyo. State space model approach is employed to investigate the contribution and the efficiency...

Persistent link: https://www.econbiz.de/10013088608

Detecting political event risk in the option market

Kostakis, Alexandros; Mu, Liangyi; Otsubo, Yoichi - In: Journal of banking & finance 146 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014248198