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

Oleh:

Eun, Cheol S. ; Sabherwal, Sanjiv

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 58 no. 2 (Apr. 2003), page 549-575.
Fulltext: p 549.pdf (239.43KB)

Isi artikel

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 ¢nd that priceson 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 tradeson the U.S. exchange and theTSE, and inversely related to the ratio of bid-ask spreads.

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