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dc.contributor.authorDassanayake, Wajira
dc.contributor.authorLi, Xiaoming
dc.contributor.authorBuhr, Klaus
dc.description.abstractThis study re-investigates the price discovery dynamics of selected stocks cross-listed on the Australian Stock Exchange (ASX) and the New Zealand Stock Exchange (NZX) during a bear trading phase from January 2008 to December 2011. A differing price discovery dynamic in a bear market versus a bull market may occur because of variations in investor sentiments and disparities in the role of the stock prices. Using intraday data, we employ the vector error correction mechanism, Hasbrouck’s (1995) information share and Grammig et al.’s (2005) conditional information share methods. Consistent with previous research, we find that price discovery takes place mostly on the home market for the Australian firms and for all but one of the New Zealand firms. However, not seen in existing studies, we show that the NZX has grown in importance for both the Australian and New Zealand firms. This suggests that the NZX is deviating from being a pure satellite market.en_NZ
dc.publisherUnitec ePressen_NZ
dc.rightsAll rights reserveden_NZ
dc.subjectprice discoveryen_NZ
dc.subjectmarket microstructureen_NZ
dc.subjectinternational stock marketsen_NZ
dc.titleA revisit of price discovery dynamics across Australia and New Zealanden_NZ
dc.typeJournal Articleen_NZ
dc.rights.holderUnitec ePressen_NZ
dc.subject.marsden150299 Banking, Finance and Investment not elsewhere classifieden_NZ
dc.subject.marsden150507 Pricing (incl. Consumer Value Estimation)en_NZ
dc.identifier.bibliographicCitationDassanayake, W., Li, X. and Buhr, K. (2015). A revisit of price discovery dynamics across Australia and New Zealand. Unitec ePress Research Report Series (3). Retrieved from
unitec.institutionUnitec Institute of Technologyen_NZ
unitec.institutionMassey Universityen_NZ
unitec.publication.volume2015 (3)en_NZ
unitec.publication.titleUnitec ePress Research Report Seriesen_NZ
dc.contributor.affiliationUnitec Institute of Technologyen_NZ
unitec.institution.studyareaAccounting and Finance

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