Where is the Market? Evidence from Cross-Listings

Halling, Michael; Pagano, Marco; Randl, Otto; Zechner, Josef

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Where is the Market? Evidence from Cross-Listings

CEPR Discussion Paper No. 4987

34 Pages Posted: 5 Aug 2005

See all articles by Michael Halling

Michael Halling

University of Vienna - Department of Business Engineering

CSEF - University of Naples Federico II - Centre for Studies in Economics and Finance (CSEF); Einaudi Institute for Economics and Finance (EIEF); Research Institute of Industrial Economics (IFN); Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI)

Otto Randl

Vienna University of Economics and Business

Josef Zechner

Vienna University of Economics and Business

There are 2 versions of this paper

Date Written: April 2005

Abstract

We investigate the distribution of trading volume across different venues after a company lists abroad. In most cases, after an initial blip, foreign trading declines rapidly to extremely low levels. However, there is considerable cross-sectional variation in the persistence and magnitude of foreign trading. The ratio between foreign and domestic trading volume is higher for smaller, more export and high-tech oriented companies. It is also higher for companies that cross-list on markets with lower trading costs and better insider trading protection. Foreign trading is high close to the cross-listing date but decreases dramatically in the subsequent six months. This accords with the 'flow-back hypothesis' that declining foreign trading is associated with the gravitational pull of the home market.

Keywords: Trading volume, cross-listing, flow-back

JEL Classification: G15, G30

Suggested Citation: Suggested Citation

Halling, Michael and Pagano, Marco and Randl, Otto and Zechner, Josef, Where is the Market? Evidence from Cross-Listings (April 2005). CEPR Discussion Paper No. 4987, Available at SSRN: https://ssrn.com/abstract=771993