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Matching and the Estimated Impact of Inter-listing (updated July 2003)

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  • Ryan J. Davies

    ()
    (ICMA Centre, University of Reading)

Abstract

sing 1998 trade and quote data for securities listed on the Toronto Stock Exchange, this paper employs nonparametric estimation to measure the effect of being interlisted on a US exchange on: (i) the daily number of trades, trading volume, and dollar trading volume; (ii) the number of inside quote revisions and the percentage bid-ask spread; (iii) registered trader gross trading revenues; (iv) composition of order flow between orders submitted for client, non-client, and registered trader accounts. Unlike previous studies, I use kernel-based matching estimates in addition to variants of the standard nearest-neighbor approach for constructing matched samples of interlisted stocks and non-interlisted stocks. I explore the sensitivity of results to: (i) using different bandwidth parameters and caliper-matching criteria; (ii) using different matching characteristics; (iii) the exclusion/inclusion of firms. I highlight instances when kernel-based and nearest-neighbor matching estimation techniques produce significantly different results and thereby argue that results based on standard matching techniques commonly employed in the finance literature should be interpreted cautiously.

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Bibliographic Info

Paper provided by Henley Business School, Reading University in its series ICMA Centre Discussion Papers in Finance with number icma-dp2001-11.

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Length: 38 pages
Date of creation: Dec 2001
Date of revision: Jun 2003
Handle: RePEc:rdg:icmadp:icma-dp2001-11

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Web page: http://www.henley.reading.ac.uk/
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Related research

Keywords: Matched samples; kernel estimation; interlisted securities; responsible registered trader;

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References

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  1. Farrell, Kathleen A & Whidbee, David A, 2000. "The Consequences of Forced CEO Succession for Outside Directors," The Journal of Business, University of Chicago Press, vol. 73(4), pages 597-627, October.
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  3. Erik Lie, 2001. "Detecting Abnormal Operating Performance: Revisited," Financial Management, Financial Management Association, vol. 30(2), Summer.
  4. Bessembinder, Hendrik, 1999. "Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(03), pages 387-407, September.
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  7. Jim Angel & Reena Aggarwal, . "Optimal Listing Strategy: Why Microsoft and Intel Do Not List on the NYSE," Working Papers _007, Georgetown School of Business.
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  9. Stephen R Foerster & G Andrew Karolyi, 1993. "International Listings of Stocks: The Case of Canada and the U.S," Journal of International Business Studies, Palgrave Macmillan, vol. 24(4), pages 763-784, December.
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  11. Bessembinder, Hendrik & Kaufman, Herbert M., 1997. "A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(03), pages 287-310, September.
  12. Barclay, Michael J., 1997. "Bid-ask spreads and the avoidance of odd-eighth quotes on Nasdaq: An examination of exchange listings," Journal of Financial Economics, Elsevier, vol. 45(1), pages 35-60, July.
  13. Mittoo, Usha R, 1992. " Additional Evidence on Integration in the Canadian Stock Market," Journal of Finance, American Finance Association, vol. 47(5), pages 2035-54, December.
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  15. Davies, Ryan J., 2003. "The Toronto Stock Exchange preopening session," Journal of Financial Markets, Elsevier, vol. 6(4), pages 491-516, August.
  16. Kahle, Kathleen M. & Walkling, Ralph A., 1996. "The Impact of Industry Classifications on Financial Research," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(03), pages 309-335, September.
  17. Heckman, James J & Ichimura, Hidehiko & Todd, Petra, 1998. "Matching as an Econometric Evaluation Estimator," Review of Economic Studies, Wiley Blackwell, vol. 65(2), pages 261-94, April.
  18. Christie William G. & Huang Roger D., 1994. "Market Structures and Liquidity: A Transactions Data Study of Exchange Listings," Journal of Financial Intermediation, Elsevier, vol. 3(3), pages 300-326, June.
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  20. Mendelson, Haim, 1987. "Consolidation, Fragmentation, and Market Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(02), pages 189-207, June.
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  22. Huang, Roger D. & Stoll, Hans R., 1996. "Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE," Journal of Financial Economics, Elsevier, vol. 41(3), pages 313-357, July.
  23. Kathleen M. Kahle & Ralph A. Walkling, . "The Impact of Industry Classifications on Financial Research," Research in Financial Economics 9607, Ohio State University.
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  25. Foerster, Stephen R. & Karolyi, G. Andrew, 1998. "Multimarket trading and liquidity: a transaction data analysis of Canada-US interlistings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 393-412, December.
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Cited by:
  1. Henning, Christian H.C.A. & Michalek, Jerzy, 2008. "Ökonometrische Methoden der Politikevaluation: Meilenstein für eine sinnvolle Agrarpolitik der 2. Säule oder akademische Fingerübung?," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 57(3/4).
  2. Abdul Wadud, 2013. "Impact of Microcredit on Agricultural Farm Performance and Food Security in Bangladesh," Working Papers 14, Institute of Microfinance (InM).

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