A tale of two time zones: The impact of substitutes on cross-listed stock liquidity

Pamela C. Moulton and Li Wei

Journal of Financial Markets, 2009, vol. 12, issue 4, 570-591

Abstract: This article examines how the market quality of European cross-listed stocks is affected by the partial-day availability of close substitutes, i.e., shares of the same companies that are traded in their home markets but are not fully fungible with the cross-listed shares. Our findings suggest that narrower spreads and more competitive liquidity provision during overlapping trading hours reflect a significant impact from the availability of more substitutes in addition to the enhanced information environment and liquidity externalities when home markets are open. Our results also provide a richer picture of specialists' intraday activities and offer new evidence of market integration.

Keywords: Substitutes; Cross-listing; Specialist; Liquidity; externalities (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:12:y:2009:i:4:p:570-591

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