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

Journal of Finance - Tập 58 Số 2 - Trang 549-575 - 2003
Cheol S. Eun1, Rajiv Sabherwal2
1Georgia Institute of Technology
2University Of Rhode Island#TAB#

Tóm tắt

ABSTRACTWe 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 find that prices on 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 trades on the U.S. exchange and the TSE, and inversely related to the ratio of bid‐ask spreads.

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