Informed traders of cross-listed shares trade more in the domestic market around earnings releases

被引：4

作者：

Kryzanowski L. ^{[1
]}

Lazrak S. ^{[2
]}

机构：

[1] Finance Department, John Molson School of Business, Concordia University, West, Montreal, QC H3G 1M8

[2] Department of Finance, Operations and Information Systems, Faculty of Business, Brock University, St. Catherines, ON L2S 3A1

来源：

Review of Quantitative Finance and Accounting | 2011年 / 36卷 / 1期

关键词：

Cross-listing; Error correction model; Information asymmetry; Liquidity; Market fragmentation; Probability of informed trading; Regime-switching model;

D O I：

10.1007/s11156-010-0169-0

中图分类号：

学科分类号：

摘要：

This paper examines informed trading and price discovery for Canadian shares cross-listed on the Toronto Stock Exchange and the main U. S. exchanges. The domestic Canadian market can absorb higher demand for liquidity but offers no trading cost advantage. During earnings non-announcement periods, the intra-market probability of informed trading (PI) is similar on both national markets, and both national markets contribute to price discovery. The magnitude and elapsed time over which trading volumes are increased when earnings are announced are higher in the domestic Canadian market. Around earnings announcements, PI decreases only on the U. S. market and the Canadian market contributes more to price discovery. To infer the fundamental values of the underlying cross-listed firms, market participants should monitor both markets, and intensify their monitoring of the Canadian market during earnings announcement periods. © 2010 Springer Science+Business Media, LLC.

引用

页码：1 / 31

页数：30

共 45 条

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