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Does information vault Niagara Falls? Cross-listed trading in New York and Toronto

Haiqiang Chen and Paul Moon Sub Choi

Journal of Empirical Finance, 2012, vol. 19, issue 2, 175-199

Abstract: We document differential private information in cross-border asset pricing using the probability of informed trading (PIN) for Canadian shares traded on both sides of Niagara Falls. Relative to the New York Stock Exchange (NYSE), the Toronto Stock Exchange (TSX) has more informed trades and a larger information share. This cross-border information imbalance is associated with small but positive price premiums in New York as predicted by a model. The dynamics of these premiums depends on trade informativeness. Lastly, the PIN for TSX trading typically rises upon cross-listing on the NYSE, which is consistent with the negative event-study response.

Keywords: Cross-listing; Probability of informed trading; Information share; Price discovery; Convergence speed; Bid–ask spread (search for similar items in EconPapers)
JEL-codes: G15 G14 D82 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.jempfin.2012.01.001

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