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When does the market feel it? Magnitude, speed and persistence of market reactions to cross-listings

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  • Biell, Lis
  • Mouchette, Xavier
  • Muller, Aline

Abstract

We empirically characterize the timing dynamics of cross-listing valuation effects for 643 cross-listings events towards five major host exchanges. We use flexible event windows to investigate how and when prices adjust to cross-listing. Reactions start before the cross-listing date in 79% of the cases, and finish before this date in 64%. Averaging 62 days, the reaction shortens for large firms and firms with lower diversification potential for international investors. The time span to revert to stable state beyond the initial reaction averages 213 days, but is reduced for more frequently traded firms and cross-listings on a US stock exchange.

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  • Biell, Lis & Mouchette, Xavier & Muller, Aline, 2020. "When does the market feel it? Magnitude, speed and persistence of market reactions to cross-listings," Finance Research Letters, Elsevier, vol. 34(C).
    • Handle: RePEc:eee:finlet:v:34:y:2020:i:c:s1544612318305518
    DOI: 10.1016/j.frl.2019.08.018
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    More about this item

    Keywords

    Cross-listing; Depositary receipt; Market reaction; Timing; Event study;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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