UK and US trading of British cross-listed stocks: An intraday analysis of market integration

• 成果类型: Article
• 署名作者: Werner, IM; Kleidon, AW
• 署名单位: National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/9.2.619
• 发表日期: 1996
• 页码: 619
• 关键词: consistent covariance-matrix; securities markets; price formation; nyse stocks; volume; liquidity; volatility; heteroskedasticity; transactions; INFORMATION

摘要

This article analyzes intraday patterns for U.K. and U.S. trading of British cross-listed stocks. For each market, the intraday patterns for these stocks closely resemble those of otherwise similar, non-cross-listed stocks. There is a 2-hour period each day when cross-listed stocks are traded both in New York and in London. This overlap is characterized by concentrated trading as private information, originating in New York, gets incorporated into prices in both markets. Cross-border competition for orderflow tends to reduce already declining spreads in London. By contrast, New York specialists maintain high spreads during the overlap. Overall the evidence indicates that order flow for cross-listed securities is segmented.