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Cross‐listing and Trading on the Domestic Market: Evidence from Canada–US Partial Holidays

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  • George F. Tannous
  • Ying Zhang

Abstract

This study uses intraday data to analyze security trading during partial holidays. The objectives include understanding the trading environment during such holidays and learning whether cross‐listing Canadian securities on the New York Stock Exchange (NYSE) affects liquidity, the information environment, and trading volume on the domestic market. We find that the bid‐ask spread increases significantly during Canadian or United States (US) partial holidays. Informed trading, average transaction size, and trading volume on the Toronto Stock Exchange (TSX) drop during US partial holidays, while the changes on the NYSE during Canadian partial holidays are insignificant. This result suggests that during US partial holidays the ratio of institutional‐to‐retail trading on the TSX decreases.

Suggested Citation

  • George F. Tannous & Ying Zhang, 2008. "Cross‐listing and Trading on the Domestic Market: Evidence from Canada–US Partial Holidays," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(9‐10), pages 1245-1275, November.
    • Handle: RePEc:bla:jbfnac:v:35:y:2008:i:9-10:p:1245-1275
    DOI: 10.1111/j.1468-5957.2008.02105.x
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    4. George Tannous & Juan Wang & Craig Wilson, 2013. "The Intraday Pattern of Information Asymmetry, Spread, and Depth: Evidence from the NYSE," International Review of Finance, International Review of Finance Ltd., vol. 13(2), pages 215-240, June.

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