کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960891 | 929751 | 2009 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A tale of two time zones: The impact of substitutes on cross-listed stock liquidity
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This article examines how the market quality of European cross-listed stocks is affected by the partial-day availability of close substitutes, i.e., shares of the same companies that are traded in their home markets but are not fully fungible with the cross-listed shares. Our findings suggest that narrower spreads and more competitive liquidity provision during overlapping trading hours reflect a significant impact from the availability of more substitutes in addition to the enhanced information environment and liquidity externalities when home markets are open. Our results also provide a richer picture of specialists' intraday activities and offer new evidence of market integration.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 12, Issue 4, November 2009, Pages 570-591
Journal: Journal of Financial Markets - Volume 12, Issue 4, November 2009, Pages 570-591
نویسندگان
Pamela C. Moulton, Li Wei,