Macroeconomic news announcements and price discovery: Evidence from Canadian-US cross-listed firms

B Frijns, I Indriawan*, A Tourani-Rad

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review


This study employs macroeconomic news announcements as a proxy for new information arrivals and examines their impact on price discovery. We compare the price discovery of 38 Canadian companies listed on the Toronto Stock Exchange (TSX) and the New York Stock Exchange (NYSE) for the period 2004–2011. First, we observe that price discovery shifts significantly during macroeconomic news announcement days. Second, the NYSE becomes more important in terms of price discovery, regardless of the origin of the news. Third, we examine the relation between price discovery and market microstructure variables. After controlling for liquidity shocks, we find that the impact of news announcements persists. Intraday analyses of price discovery on periods surrounding news releases further support these findings. Overall, our findings suggest that there is a difference in information-processing capability of the two markets, with the U.S. market being better at processing information than the Canadian market during macroeconomic news announcements.
Original languageEnglish
Pages (from-to)35-48
Number of pages14
JournalJournal of Empirical Finance
Publication statusPublished - Jun 2015
Externally publishedYes


  • Cross-listed stocks
  • Macroeconomic news announcements
  • Market microstructure
  • Price discovery


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