Multimarket trading and liquidity: Theory and evidence

被引：63
作者：
Baruch, Shmuel
Karolyi, G. Andrew
Lemmon, Michael L.
机构：
来源：
JOURNAL OF FINANCE | 2007年 / 62卷 / 05期
关键词：
D O I：
10.1111/j.1540-6261.2007.01272.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We develop a new model of multimarket trading to explain the differences in the foreign share of trading volume of internationally cross-listed stocks. The model predicts that the trading volume of a cross-listed stock is proportionally higher on the exchange in which the cross-listed asset returns have greater correlation with returns of other assets traded on that market. We find robust empirical support for this prediction using stock return and volume data on 251 non-U.S. stocks cross-listed on major U.S. exchanges. © 2007 by The American Finance Association.
引用
收藏
页码：2169 / 2200
页数：32
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