Download or read book The Role of U S Trading in Pricing Internationally Cross Listed Stocks written by Joachim Grammig and published by . This book was released on 2004 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This paper addresses two issues: 1) where does price discovery occur for firms that are traded simultaneously in the U.S. and in their home markets and 2) what explains the differences across firms in the share of price discovery that occurs in the U.S? The answer to the first question is that the home market is typically where the majority of price discovery occurs, but there are significant exceptions to this rule and the nature of price discovery across international markets during the time of trading overlap is richer and more complex that previously realized. For the second question, the results provide strong support that liquidity is an important factor. For a particular firm, the greater the liquidity of U.S. trading relative to the home market, the greater the role for U.S. price discovery.
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 Price Liquidity Volatility and Volume of Cross listed Stocks written by Olga Dodd and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis examines the possible implications of international cross-listings for the wealth of shareholders, for stock liquidity and volatility, and for the distribution of trading volumes across both the domestic and foreign stock markets where the shares are traded. For the purpose of clarity, these three issues are analysed in three empirical chapters in the thesis. The first empirical issue examined in this thesis is the effects of international cross-listings on shareholders? wealth. This is discussed in chapter 2. The chapter compares the gains in shareholders? wealth that result from cross-listing in the American, British, and European stock exchanges and then evaluates their determinants by applying various theories on the wealth effects of cross-listing. Moreover, it evaluates how the wealth effect of cross-listing has changed over time reflecting the implications of the significant developments in capital markets that have taken place in recent years. In particular, the effects of the introduction of the Euro in Europe and the adoption of the Sarbanes-Oxley Act in the US are analysed. The findings suggest that, on average, cross-listing of stocks enhances shareholders? wealth but the gains are dependent on the destination market. In addition, the regulatory and economic changes in the listing environment not only alter the wealth effects of cross-listings, but also affect the sources of value creation. Overall, this chapter provides in-depth insights into the motivations for, and the benefits of, cross-listings across different host markets in changing market conditions. The second empirical issue examined is the impact of cross-listing and multimarket trading on stock liquidity and volatility (chapter 3). Cross-listing leads to additional mandatory disclosure in order to comply with the requirements of the host market. Such requirements are expected to reduce information asymmetry among various market participants (corporate managers, stock dealers, and investors). An enhanced information environment, in turn, should increase stock liquidity and reduce stock return volatility. The findings of this study suggest that the stock liquidity and volatility improves after cross-listing on a foreign stock exchange. Moreover, this study distinguishes between cross-listing and cross-trading. The distinction is important because cross-trading, unlike cross-listing, does not require the disclosing of additional information. Although such a distinction means there is a variation in the information environment of cross-listed and cross-traded stocks, the results do not reveal any significant difference in the liquidity and volatility of the stocks that are cross-listed and cross-traded. This evidence suggests that the improvement in the liquidity and volatility of cross-listed/traded stocks comes primarily from the intensified competition among traders rather than from mandatory disclosure requirements. The final empirical issue investigated in this thesis (chapter 4) is the identification of the determinants of the distribution of equity trading volume from both stock exchange and firm specific perspectives. From a stock exchange perspective, exchange level analysis focuses on the stock exchange characteristics that determine the ability of a stock exchange to attract trading of foreign stocks. While from a firm perspective, firm level analysis focuses on firm specific characteristics that affect the distribution of foreign trading. The results show that a stock exchange?s ability to attract trading volumes of foreign equity is positively associated with a stock exchange?s organizational efficiency, market liquidity, and also the quality of investor protection and insider trading regulations. Analysis also reveals the superior ability of American stock exchanges to attract trading of European stocks. Moreover, there is strong evidence suggesting that regulated stock exchanges are more successful in attracting trading of foreign stocks than non-regulated markets, such as OTC and alternative markets and trading platforms. From a firm perspective, the proportion of trading on a foreign exchange is higher for smaller and riskier companies, and for companies that exhibit lower correlation of returns with market index returns in the host market. Also this proportion is higher when foreign trading takes place in the same currency as trading in the firm?s home market and increases with the duration of a listing. Finally, the study provides separate evidence on the expected levels of trading activity on various stock exchanges for a stock with particular characteristics. Overall, the findings of this thesis suggest that international cross-listing is beneficial for both firms and their shareholders but the findings also suggest that there are significant variations in the implications of cross-listings for different firms and from listing in different destination foreign markets. Finally, these implications are not static and respond to changes and reforms in listing and trading conditions.
Download or read book Internationally Cross listed Stock Prices During Overlapping Trading Hours Price Discovery and Exchange Rate Effects written by Joachim Grammig and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book It Takes Two to Tango written by Leon Zolotoy and published by . This book was released on 2007 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we study the dynamics of the pricing information transfer between American Depositary Receipts (ADRs) of Japanese firms listed on the US markets and their underlying shares traded on the Tokyo Stock Exchange (TSE). We estimate a bivariate VEC-GARCH model with skewed-t innovations (Hansen, (1994)). Our main findings are as follows. First, and consistent with other related studies, we find that at the return level the TSE emerges as the dominant market, while the US markets behave as the satellite ones. Interestingly, an error correction mechanism exhibits non-linear dynamics consistent with cross-border trading of the investors facing different (implicit) transaction costs. Secondly, we find significant volatility spill-overs between the two markets. However, in contrast to the return dynamics, we find no evidence of asymmetry in the volatility spill-overs. Thirdly, we find some preliminary evidence of cross-market skewness dynamics. Finally, we study the role of trading volume in the cross-market transmission of pricing information by the means of parametric and nonparametric tests. For both the US and Tokyo stock markets we find strong empirical evidence of the trading volume affecting the error-correction dynamics. Curiously, the impact of the TSE trading volume is transmitted to the subsequent trading day on the US stock markets, while the impact of the US trading volume appears to have have no impact anymore at the opening of Tokyo stock exchange, an asymmetry which supports the idea of trading volume providing additional information to the investors.
Download or read book Price Discovery of Internationally Cross Listed Stocks During the 2008 Financial Crisis written by Larry J. Lockwood and published by . This book was released on 2019 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: Studies of cross-listings show home markets dominate price discovery and point to informational advantages of local investors. However, we show price discovery gravitates to markets with better order execution quality and find home markets do not dominate price discovery. Instead, price discovery is more evenly split, especially for emerging markets. The dominant market is determined by order execution as price discovery shifts 22% when order execution advantages reverse between home and foreign markets. Thus, markets with poor execution quality act more as satellite markets, adjusting to more liquid markets, and play a diminished informational role in the pricing of cross-listed stocks.
Download or read book International Cross Listing of Chinese Firms written by Liu, Lixian and published by IGI Global. This book was released on 2014-01-31 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: While many nations are still struggling from the global financial crisis and regaining their financial security, investors are considering alternative options for investing their money; and the secure financial sector is China appears as a viable option. International Cross-Listing of Chinese Firms examines the successful techniques and strategies that Chinese companies are using within their financial practices. It highlights the foreign-based multinational enterprise theories related to the major international stock markets. By providing the latest theories and research, this book will be beneficial for business practitioners, researchers, and managers interested in the relationship between cross-listing and firm valuation of Chinese firms.
Download or read book The Evidence and Impact of Financial Globalization written by and published by Academic Press. This book was released on 2012-12-31 with total page 807 pages. Available in PDF, EPUB and Kindle. Book excerpt: The sharp realities of financial globalization become clear during crises, when winners and losers emerge. Crises usher in short- and long-term changes to the status quo, and everyone agrees that learning from crises is a top priority. The Evidence and Impact of Financial Globalization devotes separate articles to specific crises, the conditions that cause them, and the longstanding arrangements devised to address them. While other books and journal articles treat these subjects in isolation, this volume presents a wide-ranging, consistent, yet varied specificity. Substantial, authoritative, and useful, these articles provide material unavailable elsewhere. Substantial articles by top scholars sets this volume apart from other information sources Rapidly developing subjects will interest readers well into the future Reader demand and lack of competitors underline the high value of these reference works
Download or read book Trading company shares at multiple stock exchanges Costs and Benefits of U S cross listings written by Laura Kalinska and published by GRIN Verlag. This book was released on 2016-05-10 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2015 in the subject Business economics - Investment and Finance, grade: 96/110, , course: Principles of International Finance, language: English, abstract: This thesis project aims to test the hypothesis whether or not there exists enough empirical evidence to prove that companies from developed countries with well-functioning capital markets have seen deteriorating benefits from cross-listing in the United States. We find evidence that support our hypothesis in light of the significant number of European companies terminat-ing their U.S. cross-listings after requirements for deregistering listings from the U.S. became less stringent in the year 2007. The trend also continued with the number of cross-listings by companies from the developed world steadily declining during the subsequent five years. The most cited reasons for cross-listing in the United States, such as greater access to investors, liquidity, a higher valuation and thus a lower cost of capital seems not to hold as strongly anymore. At least not for companies that come from countries where its capital markets have experienced a steady development in corporate governance standards so as to match that of the United States. Evidence point to the fact that the benefits that held for all non U.S. firms still hold strongly only for those companies coming from emerging economies and whose equity market standards are still well below that of stock exchanges in the United States.
Download or read book NYSE Closure and Global Equity Trading written by Olga Dodd and published by . This book was released on 2019 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Cross-listing in the US opens a new information channel for cross-listed stocks and makes the cross-listed stocks more dependent on the US market as a source of information and intermarket competition for order flow. We test this proposition by examining the effects of closures of the NYSE on trading of cross-listed stocks in their home markets. We use daily and intraday trading data for stocks from 36 countries that cross-list on the NYSE during the period 2009-2018 to estimate measures of stock liquidity and information efficiency of stock prices on normal days and on days when the NYSE is closed due to US public holidays and natural hazards. We document that, when the NYSE is closed, stocks that cross-list on the NYSE see a significant reduction in stock liquidity and information efficiency of stock prices in their home markets, over and above the reduction experienced by their domestic counterparts. In addition, we investigate several channels that could explain the documented reduction in liquidity and price efficiency - information, substitute and arbitrage channels. We document that cross-listed stocks are more affected by NYSE closure when they have greater dependence on the US market, and when arbitrage strategies are easier to implement, providing some evidence for the information channel and arbitrage channel arguments.
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 Pricing Errors at the NYSE Open and Close written by Margaret M. Forster and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the variance of pricing errors (transitory changes in prices) at the open and the close of trading for NYSE stocks that are traded in London or Tokyo, British and Japanese stocks that are listed on the NYSE, and similar stocks that are not traded abroad. The variance of pricing errors is significantly greater at the open than at the close for U.S. stocks, but not foreign stocks. These differences are explained by differences in order flow at the open and the close, and the effect of volume at the close on pricing errors is indistinguishable from the effect of volume at the open. The evidence is not supportive of hypotheses that attribute large pricing errors at the NYSE open to the specialist-assisted opening mechanism, or to traders' inability to observe recent transaction prices before the opening. Instead, our results are consistent with the simple notion that liquidity providers require greater compensation to absorb order imbalances that are, on average, larger at the NYSE open than at the close.
Download or read book Price Discovery for Cross Listed Stocks written by Sanjiv Sabherwal and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate price discovery for internationally traded stocks. For a sample of Canadian stocks cross-listed on the Toronto Stock Exchange (TSE) and the NYSE, we find that both markets contribute to price discovery. The U.S. share of price discovery ranges from 0.4 percent to 98.1 percent, and averages 36 percent. The U.S. contribution is directly related to the U.S. share of trading and to the ratio of proportions of informative trades on the NYSE and the TSE, and inversely related to the ratio of bid-ask spreads on the NYSE and the TSE. In response to a positive shock to the C$/US$ exchange rate, stock prices on the TSE rise, whereas those on the NYSE decline. The NYSE bears a much greater burden of adjusting to the exchange rate changes.
Download or read book Discussion of the empirical evidence regarding the merit of companies cross listing their shares on foreign equity markets written by Matthias Hilgert and published by GRIN Verlag. This book was released on 2005-05-02 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay from the year 2005 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: very good (UK: grade A), University of Glasgow (Department of Accounting and Finance), course: International Financial Management, language: English, abstract: Some non-American companies benefit from a US-listing and others do not even cross-list in the US. Several empirical studies show that foreign companies, which are listed in the US, are worth more. However, less than one out of 10 large public non-American companies float their shares in the US (Doidge et al., 2004). Why is cross-listing beneficial to some companies and not to others? In 1997 more than 4,700 companies were internationally cross-listed. But, during the past several years this number decreased significantly by 50% to 2,300 (end of 2002) companies (Karolyi, 2004). Today more and more foreign companies acknowledge that they cannot cross-list in the US. Moreover, some companies admit that they are no longer even willing to cross-list, because of the high costs and strict requirements (Economist, 2005). Still, there must be a benefit for some to cross-list. A number of studies point out that the benefits regarding cross-listing include a lower cost of capital, access to foreign capital markets, an extended global shareholder base, greater liquidity in the trading of shares, publicity, visibility and prestige. On the other hand, these companies face costs, which might erode the benefits. Typical costs associated with a US-listing are the SECreporting, reconciliation of financial statements with home and foreign standards, direct listing costs, compliance requirements, exposure to legal liabilities, taxes and various trading frictions as well as investment banking fees (Karolyi, 2004 and Doidge et al., 2004). This essay aims to examine the empirical evidence regarding the merit of cross-listing shares on foreign equity markets, especially listing shares in the US. First, it critically reviews the conventional wisdom. Secondly, it examines the new approach of the cross-listing premium. Finally, it ends with a summary of this project and my own opinions.
Download or read book The Role of Trades in Price Convergence written by Aditya Kaul and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the role of trades in restoring price parity for equities trading in multiple markets. Using a sample of stocks trading on the Toronto Stock Exchange and on the NYSE, AMEX or NASDAQ, we contrast price convergence when market makers (a) observe only lagged quotes from both markets and (b) also observe local order flow. Traditional error correction model estimates show that prices in the two markets adjust towards parity in response to quoted price discrepancies, meaning that observation of the cross-market quote helps restore parity. Including order flow in an augmented error correction model, we find that incremental price convergence occurs when trades are routed to the market with the better price, and the importance of quotes in the price convergence process is reduced. Cross-sectional analysis reveals that the importance of order flow in each market is decreasing in firm size and increasing in measures of liquidity. Our findings point to an important, and hitherto unexamined, role for trades in promoting inter-market price convergence.
Download or read book A Breakdown of the Valuation Effects of International Cross Listing written by Arturo Bris and published by . This book was released on 2019 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is well known that cross-listing domestic stocks in foreign exchanges has significant valuation effects on the listed company's shares. Using a sample of firms with dual shares, we explore the differential effects of cross-listing on prices and we are able to separate the different sources of the benefits of cross-listing. Our results show that even though the market segmentation and bonding effects are both statistically significant, the economic significance of segmentation is more than double that of bonding. Furthermore, we document an economically and statistically significant increasse in the liquidity of both share classes after the listing. Overall, our results explain why less and less firms are willing to list in the U.S.: Sarbanes Oxley has increased the cost of adopting better governance while its benefits are not substantial; and market segmentation has decreased significantly in the last years.
Download or read book Three Essays on Pricing and Volume Distributions of Cross listed Stocks written by Jing Wang and published by . This book was released on 2014 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This dissertation provides empirical evidences in global cross-listed stocks trading volume and pricing. The first essay documents the global trading volume distribution of cross-listed stocks and examines factors that make a host market competitive in attracting order flows from the counterpart domestic market. The results show that host markets are more successful in attracting trading volume when they have a higher information factor, have lower bid-ask spreads, provide better investor protection and information disclosure, share the common language or legal origin with the counterpart home markets and locate closer to the home market. The second essay investigates the market competitiveness among rival host markets based on a unique sample of global firms simultaneously cross-listed in multiple foreign countries. I present the global cross-listings and trading volume distributions cross host-home markets as well as over time, and provide robust evidences that host markets are more successful in attracting trading volume from other competing markets when they have lower bid-ask spreads, better legal protection, more market liquidity, higher level of financial development, and where the firms with longer listing history. Interesting, I consistently find that host countries with English common law origins are able to attract trading volume while French civil law origin host countries attract less trading activities. The third essay investigates the cross-listed stock price discovery process. I use synchronous trading data and the error correction model to find that prices on the home and the U.S. markets are co-integrated and mutually adjusting. The price adjustment in response to price disparity happens in both the home market and the U.S. (host) market. In most cases, domestic prices are dominant for the price discovery. However, I also observe a statistically significant amount of feedback from the U.S. markets. The greater the competition offered by the U.S. market, represented as larger U.S. proportion of trading volume, more informative U.S. share price, more liquidity, better legal protection and closer to the home market, the more price adjustment from domestic side toward the U.S. price.
