 Domestic liquidity of cross-listed stocks: Evidence from the ADR marketHamza Ghaffar, Saad Azmat and M. Kabir Hassan Pacific-Basin Finance Journal, 2022, vol. 75, issue C Abstract: This paper examines the impact of cross-listing in the US on domestic liquidity of the cross-listed stocks. We use a sample of firms from 31 developed and emerging economies that cross-listed their shares on major US stock exchanges through an American Depository Receipt (ADR) program between 1998 and 2020. The study finds that domestic liquidity increases significantly following a US cross-listing for both developed and emerging market firms. Our results suggest that for firms in developed markets, domestic trading activity decreases before and during the cross-listing year. However, it increases significantly in the long-term, suggesting evidence of the ‘flow back’ effect. For firms in emerging economies, the anticipatory, impact, intermediate and long-term effects on domestic liquidity are all significantly positive. We also find evidence for the ‘bonding hypothesis’ suggesting that the improvements in domestic liquidity are greater for cross-listed firms from countries with low rule of law, weak investor protection and bad quality of accounting information long-term. Keywords: Domestic liquidity; Cross-listing; Bonding hypotheses (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:75:y:2022:i:c:s0927538x2200138x DOI: 10.1016/j.pacfin.2022.101843 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
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