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Ownership of Cross–Listed Equities: An Investigation of Turnover, Diversification, and Risk

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  • Sie Ting Lau
  • Thomas H. McInish

Abstract

Using data for a sample of Malaysian stocks that are traded in both Malaysia and Singapore, we show that the turnover rate (trading volume relative to shares held) is significantly higher in the foreign market than in the domestic market. We also find that ownership of cross–listed shares by foreign investors is not motivated by diversification benefits. Instead, we find that the proportion of a firm's shares held in Singapore is directly related to the firm's level of systematic risk.

Suggested Citation

  • Sie Ting Lau & Thomas H. McInish, 2003. "Ownership of Cross–Listed Equities: An Investigation of Turnover, Diversification, and Risk," The Financial Review, Eastern Finance Association, vol. 38(1), pages 151-160, February.
    • Handle: RePEc:bla:finrev:v:38:y:2003:i:1:p:151-160
    DOI: 10.1111/1540-6288.00039
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    References listed on IDEAS

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    3. French, Kenneth R & Poterba, James M, 1991. "Investor Diversification and International Equity Markets," American Economic Review, American Economic Association, vol. 81(2), pages 222-226, May.
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    6. Joshua D. Coval & Tobias J. Moskowitz, 1999. "Home Bias at Home: Local Equity Preference in Domestic Portfolios," Journal of Finance, American Finance Association, vol. 54(6), pages 2045-2073, December.
    7. Cooper, Ian & Kaplanis, Evi, 1994. "Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium," The Review of Financial Studies, Society for Financial Studies, vol. 7(1), pages 45-60.
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    Cited by:

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    3. Yiuman Tse & Paramita Bandyopadhyay, 2006. "Multi-market trading in the Eurodollar futures market," Review of Quantitative Finance and Accounting, Springer, vol. 26(3), pages 321-341, May.

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