US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks

Olga Dodd, Bart Frijns, Ivan Indriawan and Roberto Pascual

Journal of Empirical Finance, 2023, vol. 72, issue C, 301-320

Abstract: We find that US cross-listing of Canadian stocks enhances domestic high-frequency trading (HFT) activity in the form of both opportunistic trading and market-making. First, US cross-listing boosts HFT low-latency cross-border arbitrage. This highly correlated HFT arbitrage activity across markets enhances stock price efficiency by correcting mispricing. Second, US cross-listing leads to an increase in news trading activity by high-frequency traders around US public macro-news releases. Finally, cross-listing increases a stock’s reliance on high-frequency market makers to provide liquidity. Yet, we find no evidence of higher fragility in liquidity supply after cross-listing.

Keywords: US cross-listing; High-frequency trading; Cross-market arbitrage; US news announcements; Liquidity; Equity markets (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 G23 (search for similar items in EconPapers)
Date: 2023
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:empfin:v:72:y:2023:i:c:p:301-320

DOI: 10.1016/j.jempfin.2023.03.012

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