The Impact of Cross-Listing on the Home Market's Information Environment and Stock Price Efficiency

36 Pages Posted: 29 Jan 2016

See all articles by Olga Dodd

Olga Dodd

Auckland University of Technology

Aaron B. Gilbert

Auckland University of Technology - Faculty of Business & Law

Multiple version iconThere are 2 versions of this paper

Date Written: January 14, 2015

Abstract

An improvement in a firm’s information environment is one possible benefit of cross-listing a firm’s shares. We empirically examine the changes in the information asymmetry and informational efficiency of prices of cross-listed stocks in their home market around a firm’s cross-listing in the US. Using intraday stock trading data we estimate market microstructure measures of information asymmetry, including the effective spread, information asymmetry components of the spread and price impact, and intraday stock return autocorrelation as a measure of price efficiency. Our results suggest that cross-listing in the US is associated with a significant improvement in the quality of the firm’s information environment and stock price efficiency in the home market. The improvement in the information environment is stronger for cross-listings that take place after the adoption of the Sarbanes-Oxley Act in the US in 2002. Overall, our results provide broad support for the legal and reputational bonding hypotheses and demonstrate that stricter disclosure associated with a US cross-listing is beneficial.

Suggested Citation

Dodd, Olga and Gilbert, Aaron B., The Impact of Cross-Listing on the Home Market's Information Environment and Stock Price Efficiency (January 14, 2015). Available at SSRN: https://ssrn.com/abstract=2723666 or http://dx.doi.org/10.2139/ssrn.2723666

Olga Dodd (Contact Author)

Auckland University of Technology ( email )

Auckland, 1142
New Zealand
+6499219999 ext 5423 (Phone)

Aaron B. Gilbert

Auckland University of Technology - Faculty of Business & Law ( email )

3 Wakefield Street
Private Bag 92006
Auckland Central 1020
New Zealand

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
47
Abstract Views
405
PlumX Metrics