Liquidity provision and specialist trading in NYSE-listed non-U.S. stocks

Bacidore, Jeffrey M.; Sofianos, George

doi:10.1016/s0304-405x(01)00092-7

Cited by 180 publications

(126 citation statements)

References 25 publications

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“…Another strand of literature analyzes the liquidity of cross-listed stocks. Bacidore and Sofianos (2002) find that non-US stocks listed in the United States have wider spreads and less depth than US stocks. Foerster and Karolyi (1998) analyze the effect of cross-listing on domestic liquidity for Canadian stocks.…”

mentioning

confidence: 84%

Where Is the Market? Evidence from Cross-Listings in the United States

Halling¹,

Pagano²,

Randl³

et al. 2007

Rev. Financ. Stud.

116

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We analyze the location of stock trading for firms with a US cross-listing. The fraction of trading that occurs in the United States tends to be larger for companies from countries that are geographically close to the United States and feature low financial development and poor insider trading protection. For companies based in developed countries, trading volume in the United States is larger if the company is small, volatile, and technology-oriented, while this does not apply to emerging country firms. The domestic turnover rate increases in the cross-listing year and remains higher for firms based in developed markets, but not for emerging market firms. Domestic trading volume actually declines for companies from countries with poor enforcement of insider trading regulation. (JEL G15, G30.) Many companies list their shares not only on their domestic exchange, but also on foreign exchanges-a fact for which several reasons have been offered and explored (see Saudagaran (1988); Karolyi (1998Karolyi ( , 2006Baker, Nofsinger, and Weaver (2002);Pagano, Röell, and Zechner (2002);Doidge, Karolyi, and Stulz (2004);and Sarkissian and Schill (2004), among others). One motive often hypothesized for this decision is that cross-listing facilitates trading by foreign investors. If so, then one would expect cross-listings to be followed by fairly substantial and persistent trading activity in the foreign market.

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mentioning

confidence: 84%

Where Is the Market? Evidence from Cross-Listings in the United States

Halling¹,

Pagano²,

Randl³

et al. 2007

Rev. Financ. Stud.

116

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show abstract

“…Although his study focuses primarily on variables under the control of exchange (i.e., the market making system), one relevant result is that bid-ask spreads are narrower in countries with better shareholder rights. Bacidore and Sofianos (2002) show that firms listed on the New York Stock Exchange that are based in the U.S. exhibit higher liquidity than those based in outside the U.S. Brockman and Chung (2003) examine the impact of investor protection on firm liquidity using a sample of blue-chips and China-based firms traded on the Stock Exchange of Hong Kong, and show that liquidity costs are lower for the Hong Kong-based blue chips than for the China-based firms. They conclude that better investor protection (for blue chips in Hong Kong) is associated with higher liquidity.…”

Section: Hypothesis Developmentmentioning

confidence: 99%

“…For example, Jain (2001) shows that bid-ask spreads are narrower in countries with better shareholders" rights. Bacidore and Sofianos (2002) document that firms listed on the New York Stock…”

Section: Introductionmentioning

confidence: 99%

Corporate Governance and Firm Liquidity: Evidence from the Chinese Stock Market

Tang

Wang

2011

Emerging Markets Finance and Trade

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This paper examines the cross-sectional relation between corporate governance and firm liquidity in the Chinese stock market. Each year we construct a measure of overall quality of governance based on publicly available information for each firm listed on the Shanghai Stock Exchange (SHSE) and the Shenzhen Stock Exchange (SZSE) over the 1999-2004 interval. After accounting for other liquidity-related factors, we present strong evidence that the level of corporate governance is positively related to firm liquidity. An increase of 1% in corporate governance index (total 100%) is on average associated with 1.2% increase in a firm"s annual turnover ratio over the subsequent year. Results from examinations of subindices of corporate governance provide further support for the positive governance-liquidity relation. These findings have important implications for academics to investigate the value of enhancing corporate governance, and for regulators to promote corporate governance reform.

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“…Again, both markets are open and close simultaneously and may be considered informationally-linked. 1 Bacidore and Sofianos (2002) find that higher levels of information asymmetry and increased adverse selection risks are the major reasons for the differences in market quality of U.S. and non-U.S. stocks traded on the New York Stock Exchange as reflected in the specialist trading behavior. The integration of the home and the international markets during the October 1987 market crash, as documented by Neumark et al (1991), also points to the influence of a common information shock.…”

Section: Introductionmentioning

confidence: 99%

Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London

Agarwal¹,

Li²,

Rhee³

2007

Journal of International Money and Finance

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Using a sample of Hong Kong-listed stocks that are also traded on the London Stock Exchange, we document the following results: first, London market makers use Hong Kong's closing prices as the benchmark for setting the opening prices in London. Second, trading in the London market plays only a limited role in price discovery in the Hong Kong market. Third, the stock returns from London trading are closely correlated with those of the Hong Kong market. The above findings are consistent with the explanation that London trading is predominantly liquidity-driven but not information-driven.

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Liquidity provision and specialist trading in NYSE-listed non-U.S. stocks

Cited by 180 publications

References 25 publications

Where Is the Market? Evidence from Cross-Listings in the United States

Where Is the Market? Evidence from Cross-Listings in the United States

Corporate Governance and Firm Liquidity: Evidence from the Chinese Stock Market

Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London

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