Cross-listings and liquidity commonality around the world

Tung Dang, Fariborz Moshirian, Claudia Koon Ghee Wee and Bohui Zhang ()

Journal of Financial Markets, 2015, vol. 22, issue C, 1-26

Abstract: In this paper, we investigate the effects of international cross-listings on commonality in liquidity. We find that cross-listings have asymmetric effects on cross-listed stocks׳ liquidity commonality that include reducing the stocks׳ liquidity commonality with the local market and increasing the stocks׳ liquidity commonality with the host market. We also find that the negative impact of cross-listings on home liquidity commonality is more pronounced for stocks from countries with high market segmentation, an opaque information environment, and a poor institutional infrastructure. These results suggest that cross-listings reduce the vulnerability of stocks׳ liquidity to aggregate liquidity shocks in the local market.

Keywords: Liquidity commonality; Cross-listings; International financial markets (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1386418114000792
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:22:y:2015:i:c:p:1-26

DOI: 10.1016/j.finmar.2014.11.003

Access Statistics for this article

Journal of Financial Markets is currently edited by B. Lehmann, D. Seppi and A. Subrahmanyam

More articles in Journal of Financial Markets from Elsevier
Bibliographic data for series maintained by Catherine Liu ().