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Liquidity and price volatility of cross-listed French stocks

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  • Asli Bayar
  • Zeynep Onder
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    Abstract

    The changes in the volatility and liquidity of French stocks are examined before and after their cross-listing on the German electronic market, the Xetra. The results are mixed in terms of the change in liquidity and volatility of stocks after cross-listing. It is found that for many stocks volatility of stock prices increases and liquidity declines after cross-listing. Furthermore, similar results are obtained when market volatility in the Paris Bourse is controlled for. These results suggest the migration of orders to the Xetra and the deterioration of the quality of the Paris Bourse with the cross listing of French stocks on the German market, especially for those stocks that are continuously traded on the Xetra. These results seem to be against the integration of the French and German markets during the period analysed in this study. Furthermore, the findings indicate that the trading scheme and the characteristics of the stock should be considered in examining the cross-listing effects.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500187083
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 15 (2005)
    Issue (Month): 15 ()
    Pages: 1079-1094

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    Handle: RePEc:taf:apfiec:v:15:y:2005:i:15:p:1079-1094

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    Web page: http://www.tandfonline.com/RAFE20

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    Web: http://www.tandfonline.com/pricing/journal/RAFE20

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    Cited by:
    1. Tseng, Hsiou-Ying, 2010. "How does the removal of the United States short-sale rules impact three Latin American markets?," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 127-133, March.

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