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Is there an International Trade-Venue Clientele Effect for Canadian Shares Cross-Listed in the United States?

47 Pages Posted: 19 Jun 2002  

Lawrence Kryzanowski

Concordia University, Quebec - John Molson School of Business

Arturo Rubalcava

University of Regina

Date Written: January 2002

Abstract

This paper extends the work by Amihud and Mendelson (1986) and Atkins and Dyl (1997a) that in equilibrium assets with higher spreads are held in portfolios with the same or expected longer holding periods. The paper examines whether or not investors have the same holding periods for the Canadian cross-listed share trades executed in the U.S. trade venues relative to the same-firm share trades executed in the TSE, and whether or not any differences are associated with the size of their relative effective half-spreads. The results support the trade-venue clientele hypothesis for the Canadian cross-listed shares whose trades are executed in the TSE and the AMEX, the TSE and NASDAQ, and the TSE and NYSE, primarily for the period after the TSE decimalization on April 15, 1996. Holding periods (effective half-spreads) for share trades executed in the U.S. trade venues significantly decreased over time relative to investor holding periods (effective spreads) for the same-firm share trades executed in the TSE. This suggests that the TSE has consistently lost its share of executed order flow (share turnover) relative to the U.S. primary trade venues, and that this loss is associated with increased relative trade costs in the TSE.

Suggested Citation

Kryzanowski, Lawrence and Rubalcava, Arturo, Is there an International Trade-Venue Clientele Effect for Canadian Shares Cross-Listed in the United States? (January 2002). EFMA 2002 London Meetings. Available at SSRN: https://ssrn.com/abstract=314385 or http://dx.doi.org/10.2139/ssrn.314385

Lawrence Kryzanowski (Contact Author)

Concordia University, Quebec - John Molson School of Business ( email )

1455 de Maisonneuve Blvd. W.
Montreal, Quebec H3G 1M8
Canada

Arturo Rubalcava

University of Regina ( email )

3737 Wascana Parkway
Regina, Saskatchewan S4S OA2
Canada
(306) 337-2388 (Phone)
(306) 585-5361 (Fax)

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