Cross-border listings and price discovery: Evidence from US-listed Canadian stocks

• 成果类型: Article
• 署名作者: Eun, CS; Sabherwal, S
• 署名单位: University of Rhode Island
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00537
• 发表日期: 2003
• 页码: 549-575
• 关键词: INTERNATIONAL LISTINGS; trading costs; MARKET; cointegration; volatility; security; UPSTAIRS; liquidity; returns; trades

摘要

We examine the contribution of cross-listings to price discovery for a sample of Canadian stocks listed on both the Toronto Stock Exchange (TSE) and a U.S. exchange. We find that prices on the TSE and U.S. exchange are cointegrated and mutually adjusting. The U.S. share of price discovery ranges from 0.2 percent to 98.2 percent, with an average of 38.1 percent. The U.S. share is directly related to the U.S. share of trading and to the ratio of proportions of informative trades on the US. exchange and the. TSE, and inversely related to the ratio of bid-ask spreads.