US Cross-Listing and Domestic High-Frequency Trading: Evidence from Canadian Stocks

52 Pages Posted: 17 Apr 2021 Last revised: 7 Jul 2021

See all articles by Olga Dodd

Olga Dodd

Auckland University of Technology

Bart Frijns

Open University of the Netherlands - School of Management

Ivan Indriawan

Auckland University of Technology - Department of Finance

Roberto Pascual

Universidad de las Islas Baleares

Date Written: July 7, 2021

Abstract

We find that US cross-listing of Canadian stocks enhances domestic high-frequency trading (HFT) activity in the form of both opportunistic trading and market-making. First, US cross-listing boosts HFT low-latency cross-border arbitrage. This highly correlated HFT arbitrage activity across markets enhances stock price efficiency by correcting mispricing. Second, US cross-listing leads to an increase in news trading activity by high-frequency traders around US public macro-news releases. Finally, cross-listing increases a stock’s reliance on high-frequency market makers to provide liquidity. Yet, we find no evidence of higher fragility in liquidity supply after cross-listing.

Keywords: US cross-listing, high-frequency trading, cross-market arbitrage, US news announcements, liquidity, equity markets

JEL Classification: G12, G14, G15, G23

Suggested Citation

Dodd, Olga and Frijns, Bart and Indriawan, Ivan and Pascual Gascó, Roberto, US Cross-Listing and Domestic High-Frequency Trading: Evidence from Canadian Stocks (July 7, 2021). Available at SSRN: https://ssrn.com/abstract=3825499 or http://dx.doi.org/10.2139/ssrn.3825499

Olga Dodd (Contact Author)

Auckland University of Technology ( email )

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

Bart Frijns

Open University of the Netherlands - School of Management ( email )

Valkenburgerweg 177
Heerlen, NL-6401DL
Netherlands

Ivan Indriawan

Auckland University of Technology - Department of Finance ( email )

AUT City Campus
Private Bag 92006
Auckland, 1142
New Zealand

Roberto Pascual Gascó

Universidad de las Islas Baleares ( email )

Ctra. de Valldemossa km 7,5
Departamento de Economia y Empresa
Palma, Baleares
Spain
+34 971 17 13 29 (Phone)
+34 971 17 23 89 (Fax)

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