Bolsa یا NYSE: کشف قیمت برای سهام مکزیک
|کد مقاله||سال انتشار||تعداد صفحات مقاله انگلیسی||ترجمه فارسی|
|16098||2004||17 صفحه PDF||سفارش دهید|
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Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of International Financial Markets, Institutions and Money, Volume 14, Issue 4, October 2004, Pages 295–311
Is price discovery and the calibration of news through American (A) or global (G) depositary receipts (DR) or depositary shares (DS), traded in central markets, superseding local discovery in peripheral markets? This question remains very much open as the evidence we present on the durability of price innovations in two major Mexican stocks provides little support for the view that the demise of local markets is inevitable. Rather it appears that such markets may have some advantage in information efficiency that may compensate for their extra costs.
As ADR/ADS, and GDR/GDS programs become increasingly available for more and more foreign issues, the question arises whether the weight of market-making has shifted away from their home stock market to a central market, as often claimed. The common presumption to that effect has been supported mostly by pointing to economic inefficiencies in peripheral stock exchanges and not by assessing the informational efficiency of the transactions conducted on them. Such an assessment will be attempted in this paper by comparing the durability of price innovations in two major Mexican stocks registered in different forms both on the New York Stock Exchange (NYSE) and the Bolsa Mexicana de Valores (BMV). Section 2 provides basic information on the cross-listed shares whose price relations are the subject of a preliminary data analysis in Section 3. Section 4 models the price discovery and reconciliation process, and Section 5 estimates how that process of error correction is shared between the two stock exchanges. Section 6 discusses the significance of the most critical coefficient estimates, and Section 7 concludes.
نتیجه گیری انگلیسی
Stock exchanges in developing countries often lack the economies of scale and scope enjoyed by much larger markets, in particular those quoting and settling in a major currency. But even if these exchanges are economically inefficient, they need not be informationally inefficient as often assumed. Rather, there is evidence that the BMV provides efficient information services in the cross-listed Mexican shares to the NYSE. This finding casts doubt on the common assertion (IMF, 2001, pp. 137–138) that price discovery for some of the major emerging-market stocks, in particular Mexican stocks that have more ADR listings than any other emerging market, is done in New York. This paper considered price discovery as a matter of degree of accuracy: If one market registers prices that stick to a greater extent than those recorded in another market when deviations from LOP occur, then the first market is more effective in price discovery than the second. Market leadership thus means that when price discrepancies occur, the other market is being led to adjust. This has implications for stock trading. We found that when deviations from LOP occur that call for error correction, usually within the next trading session, much of the correction gets made during the ensuing trading in New York rather than in Mexico City. Yet this pattern is not entirely consistent over the two subperiods or shares. This very lack of consistency over time and across shares cautions against wholesale judgments about the utility of a particular local stock exchange. For leadership of the New York market to be affirmed, price innovations in that market would have to be more persistent and not the preferred object of error correction. They would more accurately have to reveal changes in the equilibrium price level due to new developments than innovations in the Mexican market. The addition of noise in the New York market may contribute to the variance of (exchange-converted) price changes for the shares of Telmex and Grupo Televisa generally being greater on the NYSE than the BMV. In addition, shares listed on the NYSE are exposed to a double whammy of exchange-rate effects that contribute to their volatility. Even in the absence of any major currency or financial crisis, depreciation of the peso against the dollar is associated with falling peso prices of the Mexican shares, with the plunge in the corresponding ADS and GDS dollar prices in New York compounded by the decline in the dollar value of the peso. Overall, assertions about price discovery for major Latin American stocks, a category certainly including Telmex and Grupo Televisa, being done either predominantly or exclusively in New York are not supported by our limited data.15 The balance of the evidence presented in this paper tilts against these assertions in spite of their superficial plausibility. Geography or place of business, to paraphrase Pagano et al. (2000), has not become irrelevant for generating informationally efficient prices so that superior economic efficiencies offered by central world exchanges, such as the NYSE, need not be decisive. Hence the fate of securities exchanges like the BMV may not be sealed by the forces of global consolidation but remains in their own hands.