Date of Award


Document Type

Open Access Dissertation


Moore School of Business


Business Administration

First Advisor

Eric A Powers


In the first essay, I examine the burden of cross-listing prices to adjust to changes in exchange rates. Using a 3-system vector moving average model, I measure the effects of exchange rate shocks on cross-listing stock prices in the home and U.S. markets. My sample consists of 46 cross-listings on the NYSE from Canada, Brazil, and Mexico. Findings indicate that New York prices bear roughly 60% of the adjustment to exchange rates for Canadian and Mexican securities, and roughly 45% for Brazilian securities. The NYSE burden of adjustment varies considerably across firms, ranging from 7% to 100% for Canada, 10% to 79% for Brazil, and 24% to 90% for Mexico. Tests show that the NYSE burden to adjust to exchange rate changes is highest for big firms, and for those with relatively high NYSE trading costs or low NYSE trading volume. For the majority of firms, tests also show that the combined markets burdens to adjust to exchange rates increase during the period of heightened exchange rate volatility. My results have important implications for international price discovery tests, especially for those that fail to model an independent role for exchange rates at the firm level.

In the second essay, I examine the dynamics of price discovery for markets with varying market characteristics. I estimate Hasbrouck's (1995) information share over two distinct time periods of 2008 for my sample of 23 Canadian firms, 13 Brazilian firms, and 10 Mexican firms. In contrast to most prior research, I find that the home market does not always dominate the NYSE based on key trading characteristics, nor is it always the price discovery leader. Findings show that the price discovery on the NYSE is higher for cross-listings with greater NYSE market depth, lower burden to adjust to exchange rates on the NYSE, with greater trading volume and lower cost, and for smaller, low market-to-book firms. Findings show that market depth and the burden of prices to adjust to exchange rate shocks are key determinants for price discovery that rival the importance of trading volume and cost.


© 2013, James Michael Lockwood