A tale of two time zones: The impact of substitutes on cross-listed stock liquidity
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.
Year of publication: |
2009
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Authors: | Moulton, Pamela C. ; Wei, Li |
Published in: |
Journal of Financial Markets. - Elsevier, ISSN 1386-4181. - Vol. 12.2009, 4, p. 570-591
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Publisher: |
Elsevier |
Subject: | Substitutes Cross-listing Specialist Liquidity externalities |
Saved in:
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