Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
960891 | Journal of Financial Markets | 2009 | 22 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Pamela C. Moulton, Li Wei,