When does the market feel it? Magnitude, speed and persistence of market reactions to cross-listings

Lis Biell, Xavier Mouchette and Aline Muller

Finance Research Letters, 2020, vol. 34, issue C

Abstract: We empirically characterize the timing dynamics of cross-listing valuation effects for 643 cross-listings events towards five major host exchanges. We use flexible event windows to investigate how and when prices adjust to cross-listing. Reactions start before the cross-listing date in 79% of the cases, and finish before this date in 64%. Averaging 62 days, the reaction shortens for large firms and firms with lower diversification potential for international investors. The time span to revert to stable state beyond the initial reaction averages 213 days, but is reduced for more frequently traded firms and cross-listings on a US stock exchange.

Keywords: Cross-listing; Depositary receipt; Market reaction; Timing; Event study (search for similar items in EconPapers)
JEL-codes: F30 F36 G14 G15 G30 G32 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:34:y:2020:i:c:s1544612318305518

DOI: 10.1016/j.frl.2019.08.018

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