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Cross-listing and liquidity in emerging market stocks

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  • Silva, Ana Cristina
  • Chávez, Gonzalo A.
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    Abstract

    In this study, we analyze liquidity costs for stocks and ADRs from the four main Latin American markets. The results indicate that international investors are exposed to different trading costs in Latin America, with market location and firm size as important determinants. In the local market, stocks that cross-list internationally do not always present a liquidity cost advantage relative to non-cross-listed stocks. When the ADR and the local stock markets are compared, large firms present lower trading costs in the home market. The opposite occurs for small firms.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 32 (2008)
    Issue (Month): 3 (March)
    Pages: 420-433

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    Handle: RePEc:eee:jbfina:v:32:y:2008:i:3:p:420-433

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    Web page: http://www.elsevier.com/locate/jbf

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    Cited by:
    1. Chandar, Nandini & Patro, Dilip K. & Yezegel, Ari, 2009. "Crises, contagion and cross-listings," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(9), pages 1709-1729, September.
    2. Joyce Hsieh & Chien-Chung Nieh, 2010. "An overview of Asian equity markets," Asian-Pacific Economic Literature, Asia Pacific School of Economics and Government, The Australian National University, Asia Pacific School of Economics and Government, The Australian National University, vol. 24(2), pages 19-51, November.
    3. Berkman, Henk & Nguyen, Nhut H., 2010. "Domestic liquidity and cross-listing in the United States," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(6), pages 1139-1151, June.
    4. Bollen, Nicolas P.B. & Christie, William G., 2009. "Market microstructure of the Pink Sheets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(7), pages 1326-1339, July.
    5. Chen, Mei-ping & Lee, Chien-Chiang & Hsu, Yi-Chung, 2011. "The impact of American depositary receipts on the Japanese index: Do industry effect and size effect matter?," Economic Modelling, Elsevier, vol. 28(1-2), pages 526-539, January.
    6. Visaltanachoti, Nuttawat & Yang, Ting, 2010. "Speed of convergence to market efficiency for NYSE-listed foreign stocks," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(3), pages 594-605, March.
    7. Bai, Ye & Green, Christopher J., 2010. "International diversification strategies: Revisited from the risk perspective," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(1), pages 236-245, January.
    8. Amira, Khaled & Muzere, Mark L., 2011. "Competition among stock exchanges for equity," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(9), pages 2355-2373, September.
    9. Peng, Mike W. & Su, Weichieh, 2014. "Cross-listing and the scope of the firm," Journal of World Business, Elsevier, Elsevier, vol. 49(1), pages 42-50.
    10. Boubakri, Narjess & Cosset, Jean-Claude & Samet, Anis, 2010. "The choice of ADRs," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(9), pages 2077-2095, September.
    11. He, Hui & Yang, Jiawen, 2011. "Regime-switching analysis of ADR home market pass-through," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(1), pages 204-214, January.
    12. Roosenboom, Peter & van Dijk, Mathijs A., 2009. "The market reaction to cross-listings: Does the destination market matter?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(10), pages 1898-1908, October.
    13. Samson E. Edo, 2012. "Performance of Liabilities Accruing from Liberalization of the Banking Sector in Nigeria," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(2), pages 135-146, December.
    14. Dey, Malay K. & Wang, Chaoyan, 2012. "Return spread and liquidity: Evidence from Hong Kong ADRs," Research in International Business and Finance, Elsevier, Elsevier, vol. 26(2), pages 164-180.
    15. He, Hui & Yang, Jiawen, 2012. "Day and night returns of Chinese ADRs," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(10), pages 2795-2803.

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