Cross-Listings and Liquidity Commonality Around the World

49 Pages Posted: 11 Oct 2014 Last revised: 7 Jan 2016

See all articles by Tung Lam Dang

Tung Lam Dang

The University of Danang

Fariborz Moshirian

Institute of Global Finance, UNSW Business School

Claudia Koon Ghee Wee

University of New South Wales (UNSW) - Australian School of Business, Banking & Finance

Bohui Zhang

The Chinese University of Hong Kong, Shenzhen

Date Written: September 1, 2014

Abstract

In this paper, we investigate the effects of international cross-listings on commonality in liquidity. We find that cross-listings have asymmetric effects on cross-listed stocks’ liquidity commonality that include reducing the stocks’ liquidity commonality with the local market and increasing the stocks’ liquidity commonality with the host market. We also find that the negative impact of cross-listings on home liquidity commonality is more pronounced for stocks from countries with high market segmentation, an opaque information environment, and a poor institutional infrastructure. These results suggest that cross-listings reduce the vulnerability of stocks’ liquidity to aggregate liquidity shocks in the local market.

Keywords: Liquidity Commonality, Cross-listings, International Financial Markets

JEL Classification: G11, G12, G15

Suggested Citation

Dang, Tung Lam and Moshirian, Fariborz and Wee, Claudia Koon Ghee and Zhang, Bohui, Cross-Listings and Liquidity Commonality Around the World (September 1, 2014). Journal of Financial Markets, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2508034

Tung Lam Dang

The University of Danang ( email )

41 Le Duan street
Danang
Vietnam

Fariborz Moshirian

Institute of Global Finance, UNSW Business School ( email )

Sydney, NSW 2052
Australia
+61 2 93855859 (Phone)
+61 2 94877519 (Fax)

Claudia Koon Ghee Wee

University of New South Wales (UNSW) - Australian School of Business, Banking & Finance ( email )

Sydney, NSW 2052
Australia

Bohui Zhang (Contact Author)

The Chinese University of Hong Kong, Shenzhen ( email )

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