TY - JOUR
T1 - Cross-listings and liquidity commonality around the world
AU - Dang, Tung Lam
AU - Moshirian, Fariborz
AU - Wee, Claudia Koon Ghee
AU - Zhang, Bohui
PY - 2015/1
Y1 - 2015/1
N2 - 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.
AB - 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.
KW - Liquidity commonality
KW - Cross-listings
KW - International financial markets
UR - http://www.scopus.com/inward/record.url?scp=84921381659&partnerID=8YFLogxK
U2 - 10.1016/j.finmar.2014.11.003
DO - 10.1016/j.finmar.2014.11.003
M3 - Article
SN - 1386-4181
VL - 22
SP - 1
EP - 26
JO - Journal of Financial Markets
JF - Journal of Financial Markets
ER -