Cross-Listings and Liquidity Commonality Around the World
Author | : Tung Lam Dang |
Publisher | : |
Total Pages | : 49 |
Release | : 2016 |
ISBN-10 | : OCLC:1306266671 |
ISBN-13 | : |
Rating | : 4/5 (71 Downloads) |
Download or read book Cross-Listings and Liquidity Commonality Around the World written by Tung Lam Dang and published by . This book was released on 2016 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we investigate the effects of international cross-listings on commonality in liquidity. We find that cross-listings have asymmetric effects on cross-listed stocks' liquidity commonality that include reducing the stocks' liquidity commonality with the local market and increasing the stocks' liquidity commonality with the host market. We also find that the negative impact of cross-listings on home liquidity commonality is more pronounced for stocks from countries with high market segmentation, an opaque information environment, and a poor institutional infrastructure. These results suggest that cross-listings reduce the vulnerability of stocks' liquidity to aggregate liquidity shocks in the local market.