Download or read book Cross Return Volatility and Order Imbalance in International Cross Listings written by Yong-chern Su and published by . This book was released on 2010 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: The globalization of financial markets motivates plenty of non-U.S. companies listing their shares on the U.S. exchanges. Following Eun and Sabherwal (2003), we investigate the extent to which the NYSE and the TSX contribute to price discovery of the Canadian Stocks listing on these exchanges. By examining the effect of contemporaneous order imbalances on cross-border stock returns, we find that contemporaneous imbalance on the NYSE is significant to the stock returns on the TSX. Since the U.S. exchanges are the most liquid and largest exchanges in the world, they play a leading role in capital markets. Our findings imply that the NYSE significantly contributes to price discovery.Besides, we apply GARCH (1, 1) model to test the effect of contemporaneous imbalance on the cross-listing returns and the effect of trading volume on foreign return variance. We find that there is a significant influence of trading volume in domestic/foreign markets on the volatility of the stock return in foreign/domestic markets in our empirical results. The evidence shows that cross-listing helps informed traders distribute their trading across the two markets to make use of private information between the markets. This activity results in the increasing generation of private information, and then causes an increase in the stock return variance. However, contemporaneous order imbalance on the TSX/NYSE does not have an important impact on the stock returns on the NYSE/TSX. It means that order is not a good indicator of information flow. The significance in GARCH (1, 1) model comes from trading volume to the return volatility, not to the stock return. The insignificance for effect of order imbalance on the cross-board return represents limited capital flow between countries. The view supports evidence of segmentation between Canadian and the U.S. markets suggested by Foerster and Karolyi (1993).
Download or read book Cross Return Volatility and Order Imbalance in International Cross listings written by 陳佩忻 and published by . This book was released on 2008 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Volatility Trading Mechanisms and International Cross listing written by Margaret M. Forster and published by . This book was released on 1992 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Impact of Foreign Cross Listings on Symmetric Information Spillovers between Markets written by Koulakiotis Athanasios and published by . This book was released on 2004 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops the approach suggested by Howe, Madura and Tucker (1993) to examine the impact of cross listing on stock price volatility in Europe. A primary focus of this paper is to provide a different methodology than the one adopted by Howe, Madura and Tucker (1993) using a modified GARCH (Generalized Autoregressive Conditional Heteroskedasticity) modeling approach as suggested by Li and Engle (1998), to examine the impact of cross-listings on volatility spillovers. The analysis also takes into account the influence of different regulatory structures across the markets where firms are cross-listed. In particular, we use LaPorta et al.'s (1998) broad stock market regulatory classification to analyze the magnitude and persistence of volatility spillovers from the foreign listing to the home equity of cross listed companies in the Paris stock exchange. We find that information spillover effects are important for the Paris market for cross-listed equities and that different regulatory environments have a significant impact on information spillovers. Volatility transmissions from foreign listing in lax regulatory environments appear to be more important for spillovers to home equity cross-listings in the case of the French stock exchange.
Download or read book A Theory of the Impact of International Cross listing written by Ruth Janine Freedman and published by . This book was released on 1991 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Cross Listing written by Richard Podpiera and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the effects of market fragmentation and information flows in the case of stocks cross-listed on markets in Central Europe and London. First, we test for co-movement, interaction and error correction behavior between the local and London markets. Our results suggest that strong interactions exist between these markets, with the London market being slightly more important than the local one. The two prices of cross-listed stocks are cointegrated and pricing errors are corrected over a few days. These interactions suggest partial fragmentation. Second, we extend an earlier model to examine the impact of foreign listing on the variance of local returns. The focus of previous studies has concentrated almost exclusively on the return of cross-listed securities. The variance of returns has remained mostly unnoticed, even though some studies noted an increase of variance after the cross-listing. In our model, we introduce a new factor that influences return variance: tighter interaction with foreign markets as a consequence of cross-listing. Estimation results lend support to our model.
Download or read book Trading Costs and Return Volatility written by Hendrik Bessembinder and published by . This book was released on 1998 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Cross Listing and Order Flow Migration written by Ian Domowitz and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Policy makers in emerging markets are increasingly concerned about the consequences for the domestic equity market when a company lists its stock abroad. We show that the effects of cross-listing depends on market transparency, i.e., the quality of inter-market information linkages. We investigate these issues with unique data from the Mexican equity market. The impact of cross-listing is complex, balancing the costs of order flow migration against the benefits of increased inter-market competition. These effects are exacerbated by equity investment barriers that induce segmentation of the domestic equity market. Consequently, the benefits and costs of cross-listing are not evenly spread over all classes of shareholders.
Download or read book Trading Hours Information Flow and International Cross Listing written by Margaret M. Forster and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the volatility of information-related price changes of NYSE stocks that are traded in London and/or Tokyo, British and Japanese stocks that are cross-listed on the NYSE, and similar stocks that are not traded abroad. Examination of the impact of a security's primary and cross listings on the relative variance of daytime and overnight NYSE returns indicates that: (i) among stocks with identical overall listings, the rate of information flow into the prices of Japanese and British stocks is significantly less than that of U.S. stocks during NYSE trading hours; (ii) the rate of information flow into the prices of U.S. stocks when the NYSE is closed is greater for U.S. stocks cross-listed in Tokyo than non-cross-listed U.S. stocks, but not for U.S. stocks cross-listed in London; and (iii) the rate of information flow into the prices of foreign stocks during NYSE trading hours is greater, the greater is their NYSE volume. These results are consistent with the hypotheses that (a) both public and private information flow into prices at a greater rate when a stock's primary market is open than when it is closed, even if off-shore trading opportunities are available; and (b) foreign trading does facilitate price discovery if there is sufficient trading activity in the foreign market.
Download or read book Cross Listings and Home Market Trading Volume written by Thomas H. McInish and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Cross-listings of equities internationally are becoming more common. Using data for Europe and North America, previous studies reject the order flow diversion hypothesis, which states that international cross-listings reduce home country trading volume. We test this hypothesis using data for equities cross-listed in Singapore and Malaysia. We find that trading volume in Malaysia fell 42.9 percent when Singapore markets were closed for holidays. Further, we show that trading volume in Malaysia did not increase following the implementation of regulations that ended the trading of Malaysian equities in Singapore in 1998. Hence, we reject the order flow diversion hypothesis.
Download or read book The Cross Market Information Content of Stock and Bond Order Flow written by Shane Underwood and published by . This book was released on 2008 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper I test the hypothesis that trading activity in the stock and bond markets contains important marketwide pricing information. Using a large sample of actively traded stocks and U.S. Treasury securities, I find that aggregate order imbalances play a strong role in explaining cross-market returns. I interpret this as evidence that aggregate order flow reveals information about the risk preferences, beliefs, and endowments of the investor population that is relevant for pricing securities in both markets. I also find evidence that cross-market hedging is an important source of linkages across the two markets, especially during periods of elevated equity volatility.
Download or read book The impact of cross listing on the stock price and the volatility in the domestic market written by Maria Thomopoulou and published by . This book was released on 2005 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Information Trading Volume and International Stock Return Comovements written by Louis Gagnon and published by . This book was released on 2010 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the joint dynamics of returns and trading volume of 556 foreign stocks cross-listed on U.S. markets. Heterogeneous-agent trading models rationalize how trading volume reflects the quality of traders' information signals and how it helps to disentangle whether returns are associated with portfolio-rebalancing trades or information-motivated trades. Based on these models, we hypothesize that returns in the home (U.S.) market on high-volume days are more likely to continue to spill over into the U.S. (home) market for those cross-listed stocks subject to the risk of greater informed trading. Our empirical evidence provides support for these predictions, which confirms the link between information, trading volume, and international stock return comovements that has eluded previous empirical investigations.
Download or read book Idiosyncratic return volatility in the cross section of stocks written by Namho Kang and published by . This book was released on 2011 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Trading Volume Volatility and Return Dynamics written by Leon Zolotoy and published by . This book was released on 2007 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we study the dynamic relationship between trading volume, volatility, and stock returns at the international stock markets. First, we examine the role of volume and volatility in the individual stock market dynamics using a sample of ten major developed stock markets. Next, we extend our analysis to a multiple market framework, based on a large sample of cross-listed firms. Our analysis is based on both semi-nonparametric (Flexible Fourier Form) and parametric techniques. Our major findings are as follows. First, we find no evidence of the trading volume affecting the serial correlation of stock market returns, as predicted by Campbell et.al (1993) and Wang (1994). Second, the stock market volatility has a negative and statistically significant impact on the serial correlation of the stock market returns, consistent with the positive feedback trading model of Sentana and Wadhwani (1992). Third, the lagged trading volume is positively related to the stock market volatility, supporting the information flow theory. Fourth, we find the trading volume to have both an economically and statistically significant impact on the price discovery process and the co-movement between the international stock markets. Overall, these findings suggest the importance of the trading volume as an information variable.
Download or read book International Cross Listing Market Quality and Ownership Rights written by Jack D. Glen and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines empirically the impact of ADR listing in the United States on the Mexican Stock Exchange. The Mexican Stock Exchange is of particular interest because it is an emerging market that faces competition from highly liquid U.S. ADR markets during exchange hours. In addition, equity issues in Mexico are differentiated by ownership and voting rights. We develop an econometric model to assess the impact of ADR listing on various measures of market quality. The impact of international listing is complex. For shares open to foreign ownership, ADR introduction is associated with higher volatility and lower liquidity, consistent with market fragmentation. However, the bid-ask spreads of such shares decrease after ADR introduction, possibly because of increased competition among domestic liquidity providers to retain order flow. Consistent with this hypothesis, the changes in liquidity and spreads are small and unsystematic for non-voting stock and for issues where ownership was restricted to domestic residents prior to the ADR listing.
Download or read book Intraday Patterns in the Cross Section of Stock Returns written by Steven L. Heston and published by . This book was released on 2019 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: Motivated by the literature on investment flows and optimal trading, we examine intraday predictability in the cross-section of stock returns. We find a striking pattern of return continuation at half-hour intervals that are exact multiples of a trading day, and this effect lasts for at least 40 trading days. Volume, order imbalance, volatility, and bid-ask spreads exhibit similar patterns, but do not explain the return patterns. We also show that short-term return reversal is driven by temporary liquidity imbalances lasting less than an hour and bid-ask bounce. Timing trades can reduce execution costs by the equivalent of the effective spread.
