A Characterization of the Price Behaviour of International Dual Stocks: An Error Correction Approach

Center for Economic Studies Working Paper at University of Munich, Number 104

Posted: 28 Jun 1998

See all articles by Uri Ben-Zion

Uri Ben-Zion

Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management; National Bureau of Economic Research (NBER)

Shmuel Hauser

Ben-Gurion University of the Negev - School of Management; Government of the State of Israel - Israel Securities Authority

Offer Lieberman

Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management

Date Written: March 1996

Abstract

This paper deals with the interrelations between stocks listed and traded in two international unsynchronized markets. The data exhibits first order nonstationarity and the series across markets are cointegrated. This gives a justification for an error correction model which incorporates a short run adjustment mechanism. The model is applied for different day-groups. The main findings are: (1) The domestic country emerges as the dominant market and the foreign market as the satellite one; (2) The adjustment mechanism coefficient is highly significant for most shares; (3) Different behavioural patterns emerge for middle-of-the- week days as compared with beginning/end-of-week days; (4) The model fits better for the more heavily traded shares.

JEL Classification: G15, F10, F30

Suggested Citation

Ben-Zion, Uri and Hauser, Shmuel and Lieberman, Offer, A Characterization of the Price Behaviour of International Dual Stocks: An Error Correction Approach (March 1996 ). Center for Economic Studies Working Paper at University of Munich, Number 104, Available at SSRN: https://ssrn.com/abstract=7361

Uri Ben-Zion

Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management ( email )

Haifa 32000
Israel
(972-4) 829-4432 (Phone)
(972-4) 829-5688 (Fax)

National Bureau of Economic Research (NBER)

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United States

Shmuel Hauser

Ben-Gurion University of the Negev - School of Management ( email )

P.O. Box 653
Beer-Sheva 84105
Israel
+972 2 651 3939 (Phone)
+972 7 6472896 (Fax)

Government of the State of Israel - Israel Securities Authority

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Jerusalem 95464
Israel

Offer Lieberman (Contact Author)

Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management ( email )

Haifa 32000
Israel
973 4 8294438 (Phone)
972 4 8235194 (Fax)

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