Information flows and the law of one price
نویسندگان
چکیده
This paper explores the role of information flows for law one price in an almost frictionless environment. Specifically, we examine whether volume and content social media messages are related to exchange rate pass-through (ERPT) prices dual-listed stocks. Our sample includes 37 million tweets mentioning name a stock cross-listed United Kingdom (UK) States (US) from 2015 2018. Using high-frequency intraday data sample, observe negative (positive) link between ERPT (agreement) tweets. The findings suggest that large high degree disagreement add extra frictions price. In addition, there is asymmetric pattern pass-through, notwithstanding no import/export or geographically-related frictions. presents further evidence importance understanding
منابع مشابه
1 The Law of One Price , Costly Information and the Law of Price Convergence 1
Agreements for the exchange of commodities consist of explicit, objectively measured contractual components enforced by the state, and implicit, subjective components enforced by sellers’ reputation. People are better informed about the former than about the latter. I expect prices to diverge because the market does not fully adjust for differentials due to changes in the reputational component...
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ژورنال
عنوان ژورنال: International Review of Financial Analysis
سال: 2023
ISSN: ['1873-8079', '1057-5219']
DOI: https://doi.org/10.1016/j.irfa.2022.102466