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Does Information Vault Niagara_Falls? Cross-listed trading in New York and Toronto

  • Haiqiang Chen
  • Paul Moon Sub Choi
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    We document differential private information in cross-border asset pricing using the probability of informed trading (PIN) for Canadian shares traded on both sides of Niagara Falls. Relative to the New York Stock Exchange (NYSE), the Toronto Stock Exchange (TSX) hasmore informed trades and a larger information share. This cross-border information imbalance is associated with small but positive price premiums in New York as predicted by a model. The dynamics of these premiums depends on trade informativeness. Lastly, the PIN for TSX trading typically rises upon cross-listing on the NYSE, which is consistent with the negative event-study response.

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    Paper provided by Journal in its series Papers with number 2013-10-14.

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    Date of creation: 14 Oct 2013
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    Publication status: published
    Handle: RePEc:wyi:journl:002166
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