Price discovery in dual‐class shares across multiple markets

Marcelo Fernandes, Cristina Scherrer

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)
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Abstract

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
Pages (from-to)129-155
JournalJournal of Futures Markets
Volume38
Issue number1
Early online date28 Nov 2017
DOIs
Publication statusPublished - Jan 2018

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