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Price Discovery Between the New York Stock Exchange and Istanbul Stock Exchange

2015; Taylor & Francis; Volume: 51; Issue: 1 Linguagem: Inglês

10.1080/1540496x.2015.1011542

1558-0938

Aslı Aşçıoğlu, Mehmet Oğuz Karahan, Neslihan Yılmaz,

Monetary Policy and Economic Impact

We study the price discovery process between the New York Stock Exchange (NYSE) and Istanbul Stock Exchange (ISE). We examine the only cross-listed stock in those exchanges, Turkcell, for the overlapping trading periods. Utilizing the information share (IS) and the common factor component (GG) approaches, we estimate the contribution of each market to the price discovery process. We find that each market has relatively close GG coefficients. IS estimates indicate that a significant portion of Turkcell's price discovery occurs on the NYSE. The smaller share of price discovery on the ISE may be attributed to the discrete tick sizes in the ISE.