Information Transmission between Dual Listed Stocks with Non-Overlapping Trading Hours

Chih-hsiang Hsu (), Ming-sung Kao () and Wei-pen Tsai ()
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Chih-hsiang Hsu: Department of Finance, Ming Chuan University, Taiwan
Ming-sung Kao: Department of Finance and International Business, Fu Jen Catholic University, Taiwan.
Wei-pen Tsai: Department of Finance and International Business, Fu Jen Catholic University, Taiwan

Economics Bulletin, 2014, vol. 34, issue 3, 1733-1741

Abstract: This paper examines the information transmission between stocks and their corresponding deposit receipts (DRs) by collecting samples with good reputations and high liquidity in both markets. Using eight years of daily panel data from six cross-listed Taiwanese firms, our results show the feedback causality between the domestic and U.S. markets and illustrates bi-directional information transmission across markets. This is opposite to previous Taiwanese cases, which did not control for the impact of reputation and liquidity. In other words, reputation and liquidity are important factors that direct the information flow for Taiwanese cross-listed stocks.

Keywords: cross-listing; deposit receipts; information transmission (search for similar items in EconPapers)
JEL-codes: F3 G1 (search for similar items in EconPapers)
Date: 2014-08-06
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