Domestic liquidity and cross-listing in the United States

被引：31

作者：

Berkman, Henk ^{[1
]}

Nguyen, Nhut H. ^{[1
]}

机构：

[1] Univ Auckland, Dept Accounting & Finance, Sch Business, Auckland 1, New Zealand

来源：

JOURNAL OF BANKING & FINANCE | 2010年 / 34卷 / 06期

关键词：

Cross-listing; Liquidity; Bid-ask spreads; Price impact; Probability of informed trading; Bonding; Order flow migration; Asymmetric information; Investor protection; MARKET; COMPETITION; SECURITIES; MERGERS; IMPACT;

D O I：

10.1016/j.jbankfin.2009.11.011

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study examines changes in domestic liquidity after cross-listing in the United States. Our liquidity measures are based on intraday data from domestic markets for a large sample of firms that cross-list in the United States and for a matched sample of firms that do not cross-list. We find that unadjusted liquidity significantly improves after cross-listing. However, after controlling for contemporaneous changes in liquidity for a matched sample of firms that do not cross-list, there is no evidence of improvements in domestic liquidity due to cross-listing. Our results offer no support for the bonding hypothesis, or for the hypothesis that cross-listing improves domestic liquidity because of increased intermarket competition and additional order flow. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：1139 / 1151

页数：13

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