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Cross-Border Listings and Price Discovery: Evidence from U.S.-Listed Canadian Stocks

Author

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  • Cheol S. Eun

    (Georgia Institute of Technology)

  • Sanjiv Sabherwal

    (University of Rhode Island)

Abstract

We examine the contribution of cross-listings to price discovery for a sample of Canadian stocks listed on both the Toronto Stock Exchange (TSE) and a U.S. exchange. We find that prices on the TSE and U.S. exchange are cointegrated and mutually adjusting. The U.S. share of price discovery ranges from 0.2 percent to 98.2 percent, with an average of 38.1 percent. The U.S. share is directly related to the U.S. share of trading and to the ratio of proportions of informative trades on the U.S. exchange and the TSE, and inversely related to the ratio of bid-ask spreads. Copyright (c) 2003 by the American Finance Association.

Suggested Citation

  • Cheol S. Eun & Sanjiv Sabherwal, 2003. "Cross-Border Listings and Price Discovery: Evidence from U.S.-Listed Canadian Stocks," Journal of Finance, American Finance Association, vol. 58(2), pages 549-576, April.
  • Handle: RePEc:bla:jfinan:v:58:y:2003:i:2:p:549-576
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