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The determinants of price discovery : evidence from US-Canadian cross-listed shares
Frijns, Bart; Gilbert, Aaron; Tourani Rad, Alireza - In: Journal of banking & finance 59 (2015), pp. 457-468
Persistent link: https://www.econbiz.de/10011544675
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International trade-venue clienteles and order-flow competitiveness
Kryzanowski, Lawrence; Rubalcava, Arturo - In: Journal of financial intermediation 14 (2005) 1, pp. 86-113
Persistent link: https://www.econbiz.de/10002583650
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Theoretical and practical aspects of algorithmic trading
Fränkle, Jan - 2010
Persistent link: https://www.econbiz.de/10008842360
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Market segmentation and equity valuation : comparing Canada and the United States
King, Michael R.; Segal, Dan - In: Journal of international financial markets, … 18 (2008) 3, pp. 245-258
Persistent link: https://www.econbiz.de/10003710357
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The Interactions between Price Discovery, Liquidity and Algorithmic Trading for US-Canadian Cross-Listed Shares
Frijns, Bart - 2017
We analyze price discovery dynamics for Canadian companies cross-listed on the NYSE from January 2004 to January 2011. We employ a structural vector autoregression to assess the interactions between price discovery, liquidity and algorithmic trading activity. We observe that over time, the U.S....
Persistent link: https://www.econbiz.de/10012970544
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The competitive effects of US decimalization : evidence from the US-listed Canadian stocks
Oppenheimer, Henry R.; Sabherwal, Sanjiv - In: Journal of banking & finance 27 (2003) 9, pp. 1883-1910
Persistent link: https://www.econbiz.de/10001783419
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Discussion of: "The competitive effects of US decimalization: evidence from the US-listed Canadian stocks" by Oppenheimera and Sabherwal
Werner, Ingrid M. - In: Journal of banking & finance 27 (2003) 9, pp. 1911-1916
Persistent link: https://www.econbiz.de/10001783421
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Intraday market price integration for shares cross-listed internationally
Kryzanowski, Lawrence; Zhang, Hao - In: Journal of financial and quantitative analysis : JFQA 37 (2002) 2, pp. 243-269
Persistent link: https://www.econbiz.de/10001690146
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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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US cross-listing and domestic high-frequency trading : evidence from Canadian stocks
Dodd, Olga; Frijns, Bart; Indriawan, Ivan; Pascual, Roberto - In: Journal of empirical finance 72 (2023), pp. 301-320
Persistent link: https://www.econbiz.de/10014476858