Information Type and the Geography of Price Discovery

42 Pages Posted: 19 Nov 2021

See all articles by Howard Jones

Howard Jones

University of Oxford, Saïd Business School

Jose Vicente Martinez

University of Connecticut

Matthias Qian

University of Oxford

Date Written: October 20, 2021

Abstract

Local (São Paulo) and global (New York) markets contribute significantly to price discovery in dual-listed Brazilian shares, but their contribution varies over time. Local information shares increase by 8.4% on days when a stock experiences a significant idiosyncratic price swing, but do not similarly increase on earnings announcement days or on days when the whole local market experiences a significant price swing, despite an equally large increase in trading. Traders in the local market seem to have an advantage in collecting and processing company-specific unscheduled information, but not widely disseminated scheduled information which affects the company or the whole market.

Keywords: Price discovery, Geographic location, Scheduled and unscheduled information

JEL Classification: G14, G15, G20

Suggested Citation

Jones, Howard and Martinez, Jose Vicente and Qian, Matthias, Information Type and the Geography of Price Discovery (October 20, 2021). Available at SSRN: https://ssrn.com/abstract=3946491 or http://dx.doi.org/10.2139/ssrn.3946491

Howard Jones

University of Oxford, Saïd Business School ( email )

Park End Street
Oxford, OX1 1HP
Great Britain

HOME PAGE: http://www.sbs.ox.ac.uk/about-us/people/howard-jones

Jose Vicente Martinez (Contact Author)

University of Connecticut ( email )

2100 Hillside Road, Unit 1041
Storrs, CT 06269
United States

HOME PAGE: http://https://www.business.uconn.edu/person/jose-martinez/

Matthias Qian

University of Oxford ( email )

Park End Street
Oxford, OX1 1HP
Great Britain
+44 7958 921145 (Phone)
OX1 1HP (Fax)

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