Global Liquidity Provision and Risk Sharing

62 Pages Posted: 22 Jan 2015 Last revised: 16 Mar 2020

See all articles by Feng Jiao

Feng Jiao

University of Lethbridge - Faculty of Management

Sergei Sarkissian

McGill University; University of Edinburgh

Date Written: March 9, 2020

Abstract

We examine liquidity-related characteristics of U.S. firms with cross-listed shares in 20 foreign markets in the 1950-2013 period. We find that firms after foreign market listing exhibit lower liquidity sensitivity, lower liquidity beta, and suffer less from transitory price shocks. These results are stronger when firms are listed on multiple exchanges, in larger and more liquid markets. The liquidity enhancement is associated with firms’ increased foreign ownership post-listing and is effective for firms with high levels of volatility, foreign income, foreign trading, and PIN. Our findings provide support for global markets providing liquidity and reducing liquidity risk to U.S. firms.

Keywords: Foreign holdings; Funding liquidity; Difference-in-difference; Market segmentation

JEL Classification: G11, G14, G15

Suggested Citation

Jiao, Feng and Sarkissian, Sergei, Global Liquidity Provision and Risk Sharing (March 9, 2020). Available at SSRN: https://ssrn.com/abstract=2553327 or http://dx.doi.org/10.2139/ssrn.2553327

Feng Jiao (Contact Author)

University of Lethbridge - Faculty of Management ( email )

4401 University Drive
Lethbridge, Alberta TIK 3M4
Canada

Sergei Sarkissian

McGill University ( email )

1001 Sherbrooke St. W
Montreal, Quebec H3A 1G5
Canada
514-398-4876 (Phone)
514-398-3876 (Fax)

HOME PAGE: http://sergei-sarkissian.com

University of Edinburgh

29 Buccleuch Pl.
Edinburgh, Scotland EH8 9JS
United Kingdom

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