Multimarket Trading and Liquidity : Theory and Evidence  

Oleh:

Baruch, Shmuel ; Karolyi, G. Andrew ; Lemmon, Michael L.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 62 no. 5 (Oct. 2007), page 2169-2200.
Topik: Multimarket; multimarket; trading; liquidity; evidence
Fulltext: p 2169.pdf (181.4KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We develop a new model of multimarket trading to explain the diffences in the foreign share of trading volume of internationally cross - listed stocks. The model predicts that the trading volume of a cross - listed stock is proportionally higher on the exchange in which the cross - listed asset returns have greater correlation with returns of other assets traded on that market. We find robust empirical support for this prediction using stock return and volume data on 251 non - U. S. stocks cross - listed on major U. S. exchanges.

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