Multi-market trading and overnight price discovery: Evidence from American Depository Receipts
Year: 2024
Type: article
Abstract: This article compares the overnight price discovery of American Depository Receipts (ADRs) and common stocks traded in the US stock market. It examines how trading activities of ADRs’ underlying shares in home markets affect price discovery. We find that the efficiency of the opening price and the price discovery during the close-to-open period is significantly higher than that of US common stocks. Further analyses show that the price discovery of ADRs shifts from the trading day to the overnight, and the opening prices of ADRs are more efficient if there are more trading activities of underlying shares in home markets. The results suggest that trading similar assets in multiple markets over non-overlapping hours improves price efficiency. JEL Classification: G12, G14, G15
Source: Australian Journal of Management
Authors: Lai Hoang, Duc Hong Vo
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $3,700
OpenAlex ID: W4403559151