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Where is the Market? Evidence from Cross-Listings

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  • Halling, Michael
  • Pagano, Marco
  • Randl, Otto
  • Zechner, Josef

Abstract

We investigate the distribution of trading volume across different venues after a company lists abroad. In most cases, after an initial blip, foreign trading declines rapidly to extremely low levels. However, there is considerable cross-sectional variation in the persistence and magnitude of foreign trading. The ratio between foreign and domestic trading volume is higher for smaller, more export and high-tech oriented companies. It is also higher for companies that cross-list on markets with lower trading costs and better insider trading protection. Foreign trading is high close to the cross-listing date but decreases dramatically in the subsequent six months. This accords with the ‘flow-back hypothesis’ that declining foreign trading is associated with the gravitational pull of the home market.

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Bibliographic Info

Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 4987.

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Date of creation: Apr 2005
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Handle: RePEc:cpr:ceprdp:4987

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Keywords: cross-listing; flow-back; trading volume;

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References

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Citations

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Cited by:
  1. Thierry Foucault & Laurent Frésard, 2012. "Cross-Listing, Investment Sensitivity to Stock Price, and the Learning Hypothesis," Review of Financial Studies, Society for Financial Studies, vol. 25(11), pages 3305-3350.
  2. Foucault, Thierry & Gehrig, Thomas, 2006. "Stock Price Informativeness, Cross-Listings and Investment Decisions," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5722, C.E.P.R. Discussion Papers.
  3. Gagnon, Louis & Karolyi, G. Andrew, 2009. "Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(04), pages 953-986, August.
  4. Jappelli, Tullio & Pagano, Marco, 2008. "Financial market integration under EMU," CFS Working Paper Series 2008/33, Center for Financial Studies (CFS).
  5. Alessandro Beber & Marco Pagano, 2010. "Short-Selling Bans around the World: Evidence from the 2007-09 Crisis," Tinbergen Institute Discussion Papers 10-106/2/DSF 1, Tinbergen Institute.
  6. Jokivuolle , Esa & Lanne , Markku, 2004. "Trading Nokia: The roles of the Helsinki vs the New York stock exchanges," Research Discussion Papers 26/2004, Bank of Finland.
  7. Augusto de la Torre & Sergio L. Schmukler, 2007. "Emerging Capital Markets and Globalization : The Latin American Experience," World Bank Publications, The World Bank, number 7187, October.
  8. Piotr Korczak & Kate Phylaktis, 2009. "Related Securities, Allocation of Attention and Price Discovery: Evidence from NYSE-Listed Non-U.S. Stocks," Bristol Economics Discussion Papers 09/612, Department of Economics, University of Bristol, UK.
  9. Lawrence Kryzanowski & Skander Lazrak, 2011. "Informed traders of cross-listed shares trade more in the domestic market around earnings releases," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 36(1), pages 1-31, January.
  10. Aggarwal, Reena & Dahiya, Sandeep & Klapper, Leora, 2005. "American Depositary Receipts (ADR) holdings of U.S. based emerging market funds," Policy Research Working Paper Series 3538, The World Bank.
  11. Ayyagari, Meghana & Demirguc-Kunt, Asli & Maksimovic, Vojislav, 2012. "Financing of firms in developing countries : lessons from research," Policy Research Working Paper Series 6036, The World Bank.

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