A tale of two time zones: The impact of substitutes on cross-listed stock liquidity
AbstractThis article examines how the market quality of European cross-listed stocks is affected by the partial-day availability of close substitutes, i.e., shares of the same companies that are traded in their home markets but are not fully fungible with the cross-listed shares. Our findings suggest that narrower spreads and more competitive liquidity provision during overlapping trading hours reflect a significant impact from the availability of more substitutes in addition to the enhanced information environment and liquidity externalities when home markets are open. Our results also provide a richer picture of specialists' intraday activities and offer new evidence of market integration.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Financial Markets.
Volume (Year): 12 (2009)
Issue (Month): 4 (November)
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Web page: http://www.elsevier.com/locate/finmar
Substitutes Cross-listing Specialist Liquidity externalities;
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