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The economic consequences of increased disclosure : evidence from international cross-listings
Bailey, Warren (contributor); Karolyi, G. Andrew (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002101596
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The economic consequences of increased disclosure : evidence from international cross-listings
Bailey, Warren (contributor); Karolyi, G. Andrew (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001659374
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Rethinking Decimalization The Impact of Increased Tick Sizes on Trading Activity and Volatility
Whitby, Ryan J. - 2019
In this study, we examine the trading activity and volatility of stocks influenced by the US Securities and Exchange … stocks does not appear to be meaningfully affected by the increase in tick sizes. Volatility, however, increases markedly for …
Persistent link: https://www.econbiz.de/10012899258
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Impact of ADR Listing on the Trading Volume and Volatility in the Domestic Market
Ejara, Demissew Diro - 2016
This paper investigates the impact of ADR listing on the trading volume and volatility of the domestic market. Existing … theories indicate that trading shifts to a market with lower transaction costs, and the level of volatility is directly related … price volatility in the domestic market after ADR listing. The increase in volatility is attributed to noise resulting from …
Persistent link: https://www.econbiz.de/10013004380
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Disclosure and the Information Role of Abnormal Trading Volume : Evidence from U.S. Cross-Listing
Xie, Junqiang - 2009
When a firm commit to a more stringent disclosure regime, market maker relies more on disclosure itself and less on the alternative information source, such as abnormal trading volume. Using a panel of foreign firms that cross-list in US, I find significant deduction in the slope coefficient in...
Persistent link: https://www.econbiz.de/10013160098
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The Relationship Among U.S. Securities Laws, Cross-Listing Premia, and Trading Volumes
Litvak, Kate - 2009
This paper studies the relationship among the U.S. securities laws, the premia that non-U.S. firms obtain by subjecting themselves to U.S. laws, overall U.S. share prices, and a cross-listed firm's U.S. trading volume. I report three main sets of findings. First, for exchange-traded (NYSE and...
Persistent link: https://www.econbiz.de/10013157474
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US Cross-Listing and Domestic High-Frequency Trading : Evidence from Canadian Stocks
Dodd, Olga; Frijns, Bart; Indriawan, Ivan; Pascual, Roberto - 2021
We find that US cross-listing of Canadian stocks enhances domestic high-frequency trading (HFT) activity in the form of both opportunistic trading and market-making. First, US cross-listing boosts HFT low-latency cross-border arbitrage. This highly correlated HFT arbitrage activity across...
Persistent link: https://www.econbiz.de/10013232823
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The effect of U.S. investor sentiment on cross-listed securities returns : a high-frequency approach
Gutierrez Pineda, Juan Pablo; Perez Liston, Daniel - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-15
This paper studies the impact of a high-frequency investor sentiment measure (New FEARS) on the returns of foreign securities listed in U.S. markets as American Depository Receipts (ADRs). We recreate a high-frequency investor sentiment measure by aggregating search volume indices (SVIs) for a...
Persistent link: https://www.econbiz.de/10012792429
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U.S. Tick Size Pilot
Rindi, Barbara; Werner, Ingrid M. - 2017 - This Draft: September 22, 2017
The U.S. equity markets recently increased the tick size from one to five cents for smaller capitalization stocks. We show that the larger tick size raised the cost for retail-sized liquidity demanding orders by almost fifty percent, and raised profits to liquidity providers by forty percent....
Persistent link: https://www.econbiz.de/10011968847
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Linear and nonlinear intraday causalities in response to U.S. macroeconomic news announcements : evidence from Central Europe
Gurgul, Henryk; Lach, Łukasz; Wójtowicz, Tomasz - In: Managerial economics 17 (2016) 2, pp. 217-240
Frankfurt, Vienna, and Warsaw. We examine causal links between returns, volatility, and trading volume as well as the time of …
Persistent link: https://www.econbiz.de/10011736959