Impact of International Cross-Listing and Delisting on Return Volatility

Abstract

This paper studies the effects of international cross-listing and delisting on the overall daily volatility, nontrading-hour volatility and trading-hour volatility of stock returns, with a focus on the U.S. firms cross-listed/delisted on the Tokyo Stock Exchange. We find that international cross-listing (delisting) reduces (increases) overall and trading-hour volatility while keeps non-trading-hour volatility unaffected. The findings are consistent with the hypothesis that international cross-listing (delisting) reduces (increases) the amount of private information and non-informed speculations.