Global Liquidity Provision and Risk Sharing

64 Pages Posted: 22 Jan 2015 Last revised: 14 Jan 2019

See all articles by Feng Jiao

Feng Jiao

University of Lethbridge - Faculty of Management

Sergei Sarkissian

McGill University

Date Written: July 1, 2015

Abstract

Using a sample of U.S. firms traded in 20 countries, we show that liquidity sensitivity to market declines is significantly lower among cross-listed firms than only U.S.-listed companies. This result is stronger when firms are listed on multiple exchanges, in larger and more liquid markets. The liquidity enhancement is associated with firms’ increased global ownership post-listing and is particularly effective for firms with high volatility, foreign income, foreign trading, and probability of informed trading. Cross-listed firms show lower liquidity betas and suffer less from transitory price shocks. Our findings highlight global market importance for supplying liquidity and reducing liquidity risk.

Keywords: Foreign holdings; Funding liquidity; Market segmentation; S&P 500 index

JEL Classification: G11, G14, G15

Suggested Citation

Jiao, Feng and Sarkissian, Sergei, Global Liquidity Provision and Risk Sharing (July 1, 2015). 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)

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