An Investigation of Price Discovery in Informationally-Linked Markets: Equity Trading in Malaysia and Singapore

• Main Authors: DING, David K., Harris, Frederick H., LAU, Sie Ting, Mclnish, Thomas H.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 1999
• Subjects: Price discovery; Error correction; Common long memory components; Singapore; Asian Studies; Business; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/1164; https://ink.library.smu.edu.sg/context/lkcsb_research/article/2163/viewcontent/Investigation_price_discovery_1999_av.pdf
• Institution: Singapore Management University

Using transactions data for the Kuala Lumpur Stock Exchange and the Stock Exchange of Singapore (SES) for a major Malaysian conglomerate, Sime Darby Berhad, and intraday exchange rate data, we investigate whether and to what extent each exchange contributes to price discovery. Results indicate that...