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Matching and the Estimated Impact of Inter-listing (updated July 2003)

Ryan Davies

ICMA Centre Discussion Papers in Finance from Henley Business School, University of Reading

Abstract: sing 1998 trade and quote data for securities listed on the Toronto Stock Exchange, this paper employs nonparametric estimation to measure the effect of being interlisted on a US exchange on: (i) the daily number of trades, trading volume, and dollar trading volume; (ii) the number of inside quote revisions and the percentage bid-ask spread; (iii) registered trader gross trading revenues; (iv) composition of order flow between orders submitted for client, non-client, and registered trader accounts. Unlike previous studies, I use kernel-based matching estimates in addition to variants of the standard nearest-neighbor approach for constructing matched samples of interlisted stocks and non-interlisted stocks. I explore the sensitivity of results to: (i) using different bandwidth parameters and caliper-matching criteria; (ii) using different matching characteristics; (iii) the exclusion/inclusion of firms. I highlight instances when kernel-based and nearest-neighbor matching estimation techniques produce significantly different results and thereby argue that results based on standard matching techniques commonly employed in the finance literature should be interpreted cautiously.

Keywords: Matched samples, kernel estimation; interlisted securities; responsible registered trader (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2001-12, Revised 2003-06
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