U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration
This article analyzes intraday patterns for U.K. and U.S. trading of British cross-listed stocks. For each market, the intraday patterns for these stocks closely resemble those of otherwise similar, non-cross-listed stocks. There is a 2-hour period each day when cross-listed stocks are traded both in New York and in London. This overlap is characterized by concentrated trading as private information, originating in New York, gets incorporated into prices in both markets. Cross-border competition for order flow tends to reduce already declining spreads in London. By contrast, New York specialists maintain high spreads during the overlap. Overall, the evidence indicates that order flow for cross-listed securities is segmented. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.
Volume (Year): 9 (1996)
Issue (Month): 2 ()
|Contact details of provider:|| Postal: |
Web page: http://www.rfs.oupjournals.org/
More information through EDIRC
|Order Information:||Web: http://www4.oup.co.uk/revfin/subinfo/|
When requesting a correction, please mention this item's handle: RePEc:oup:rfinst:v:9:y:1996:i:2:p:619-64. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.