I extend Yan and Zivot (2007)'s dynamic measure of price discovery based on impulse response functions of structural shocks to a trivariate model with two common trends. To investigate price discovery for 7 Canadian firms cross-border listed in the Toronto Stock Exchange Market (TSX) and the New...

In this study, we investigate whether average liquidity for non-U.S. firms traded on Canadian stock exchanges increased or decreased after mandatory adoption of IFRS in Canada. We consider two competing forces affecting liquidity from IFRS adoption: enhanced comparability of firms within...

In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three markets using the asymmetric power model of Ding, Granger...