The effect of political uprisings on the location of price discovery: : Evidence from egyptian cross-listed equities

• Autores: Aliaa Bassiouny, Eskandar Tooma
• Localización: Emerging Markets Finance & Trade, ISSN-e 1558-0938, Vol. 50, Nº. 5, 2014, págs. 111-125
• Idioma: inglés
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• Resumen

  • In this study, we aim to determine the location of price discovery for Egyptian cross-listed stocks around the political uprising that started on January 25, 2011, and resulted in a two-month stock market closure. We measure price discovery using Gonzalo and Granger's component share and Hasbrouck's information shares and find that, for some stocks, the contribution of the foreign market in pricing cross-listed equities increases in the period directly following the reopening of the Egyptian stock market. We discuss the factors that could explain the more pronounced shifts in the location of price discovery for some companies in the post-uprising period