Information Efficiency of U.S. Restaurant Stocks that are Cross-Listed in Germany

We study relationships between stock returns on U.S. and German exchanges for U.S. restaurant companies. Specifically, we examine whether information asymmetry affect how much stock returns in Germany lag stock returns of the same company on U.S. markets. German and U.S. investors differ in information access because of differing stock exchange listing requirements. Our main goals are to examine if (a) stock returns of U.S. underlying shares lead stock returns of cross-listed shares on the Open Market because of information asymmetry and (b) the lead–lag relationship is more evident among shares involuntarily cross-listed on the Open Market than securities voluntarily cross-listed on the EU Regulated Market because of differences in regulation in information disclosure. We estimated cross-autocorrelations using vector autoregressions and tested the hypotheses with the Wald test. The results, in general, support both hypotheses.