Say for example I have the following company in some specialized industry:
A - Company that is about to be listed in Exchange 1, i.e., no price history
B - Company that produce similar products as Company A, listed on Exchange 1 as well, however B has very thin volume and price could stay the same for weeks.
C - Similar to company A but listed on Exchange 2, again, thin trading volume
D - Similar to company B but listed on Exchange 2, also thin trading volume
For companies B, C and D, I have their historical EOD price for the past two years.
Exchange 1 and 2 are listed in different continents and there is very little correlation between the two, also, there is no index for this industrial sector. (However the price between company C&D and A&B should be correlated). Also, we can not assume the price time series is non-stationary as the products those company produce could be seasonal in nature.
I would like to figure out the "correct" market price for Company A before it is listed, based on the information above. And my results so far shows that each of the price time series that I have has a different ARIMA model.
Therefore, my question is how can I tackle these price data to start my analysis? Bearing in mind that those are all the data I have and can get.