The price formation of substitute markets: Theory and empirical application

机译：替代市场的价格形成：理论与经验应用

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Two related issues are seldom jointly addressed in the cross market price discovery literature: i) a model that focuses on non-price parameters ii) the relevance of price and non-price parameters. We have two objectives. First, derive a joint trade direction model (JTDM) based on the single market Madhavan, Richardson and Roomans (1997) model. Second, estimate and test the JTDM against the Gonzalo and Granger (1995) VECM measure of price discovery. By doing so, we test the relevance of quote change against trade direction in cross-market price formation. The estimation of a comprehensive sample of 20 Chinese twin-board firms reveal i) VECM and JTDM give consistent ranking in 6 firms, with 3 firms providing strong evidence of price discovery by the H-board; ii) When Wald test and J-test support VECM (JTDM) as the preferred model for 3 firms, the VECM (JTDM) ranks the B/H (A) board above the A (B/H) board; iii) The models generate conflicting rankings in 8 out of 10 A-B firms. Wald and J tests fail to distinguish between VECM and JTDM for 7 of those 8 firms. This is not surprising given the A and B boards were implicitly merged in 2001-2002.

机译：跨市场价格发现文献很少共同解决两个相关问题：i）专注于非价格参数的模型； ii）价格和非价格参数的相关性。我们有两个目标。首先，基于单一市场Madhavan，Richardson和Roomans（1997）模型推导联合贸易方向模型（JTDM）。其次，根据Gonzalo和Granger（1995）VECM对价格发现的度量来估计和测试JTDM。通过这样做，我们测试了跨市场价格形成中报价变化与交易方向之间的相关性。对20家中国双板公司的综合样本的估计显示：i）VECM和JTDM在6家公司中排名一致，其中3家公司提供了H板发现价格的有力证据； ii）当Wald检验和J检验支持VECM（JTDM）作为3家公司的首选模型时，VECM（JTDM）将B / H（A）板置于A（B / H）板之上； iii）这些模型在10家A-B公司中有8家产生了相互矛盾的排名。 Wald和J的测试未能区分这8家公司中的7家VECM和JTDM。鉴于A和B董事会在2001-2002年被暗中合并，这不足为奇。

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来源
《2007 China International Conference in Finance》|2007年|p.1-54|共54页
会议地点 Chengdu(CN);Chengdu(CN)
作者
Michael T. Chng; Aihua Xia;
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作者单位

Department of Accounting and Finance, Monash University, VIC 3800, Australia;

Department of Mathematics and Statistics, University of Melbourne, VIC 3010, Australia;

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会议组织
原文格式 PDF
正文语种
中图分类财政、金融;
关键词
price discovery; trade direction; cross-listings;

机译：价格发现；贸易方向；交叉列出;

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The price formation of substitute markets: Theory and empirical application

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