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Liquidity difference between non-U.S. and U.S. IPOs on the NYSE listings

Author

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  • Jang-Chul Kim

    (Northern Kentucky University)

  • Kaun Y. Lee

    (Chung-Ang University)

  • Ha-Chin Yi

    (Texas State University)

Abstract

We investigate liquidity and information asymmetry for a sample of non-U.S. stock listings and U.S. IPO listings on the NYSE. We find that non-U.S. stock listings tend to have wider spreads, larger price impact of trades, and higher probability of information-based trading than those of the U.S. IPOs. In addition, our results show that the differences in liquidity and information asymmetry are not transient; it has a long-term implication. Furthermore, liquidity and information asymmetry measures for non-U.S. stock listings are significantly related to the macro-institutional quality of their home countries such as political risk and absence of violence/terrorism, government effectiveness, voice and accountability, control of corruption, and rule of law. We find that non-U.S. stocks from countries with lower institutional quality metrics tend to have lower liquidity and higher information asymmetry. Therefore, improving a country’s institutional quality alleviates information problems and improves market liquidity for non-U.S. stocks listed in NYSE.

Suggested Citation

  • Jang-Chul Kim & Kaun Y. Lee & Ha-Chin Yi, 2024. "Liquidity difference between non-U.S. and U.S. IPOs on the NYSE listings," Review of Quantitative Finance and Accounting, Springer, vol. 62(1), pages 365-387, January.
    • Handle: RePEc:kap:rqfnac:v:62:y:2024:i:1:d:10.1007_s11156-023-01204-w
    DOI: 10.1007/s11156-023-01204-w
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    More about this item

    Keywords

    Liquidity; Information asymmetry; Non-U.S. IPO; Spreads; Country risk; Institutional quality;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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