Eun, Cheol S.; Sabherwal, Sanjiv - In: Journal of Finance 58 (2003) 2, pp. 549-576
We examine the contribution of cross-listings to price discovery for a sample of Canadian stocks listed on both the Toronto Stock Exchange (TSE) and a U.S. exchange. We find that prices on the TSE and U.S. exchange are cointegrated and mutually adjusting. The U.S. share of price discovery ranges...