CAPITAL market, FINANCIAL crises, INTERNATIONAL markets, STOCK exchanges, CROSS listing of securities
Abstract
ABSTRACT Previous results show relatively small amounts of time variation in the Hasbrouck (1995) information share across international markets. Using data from a security that was cross-listed on the New York and London Stock Exchanges in the 1860s, we find that the information share changes dramatically during a financial crisis that began in the foreign market. [ABSTRACT FROM AUTHOR]