Cross-Border Listings and Price Discovery: Evidence from U.S.-Listed Canadian Stocks

Posted: 12 Sep 2003

See all articles by Cheol S. Eun

Cheol S. Eun

Georgia Institute of Technology - Finance Area

Sanjiv Sabherwal

University of Texas at Arlington - Department of Finance and Real Estate

Abstract

We examine the contribution of cross-listings to price discovery for a sample of Canadian stocks listed on both the Toronto Stock Exchange (TSE) and a U.S. exchange. We find that prices on the TSE and U.S. exchange are cointegrated and mutually adjusting. The U.S. share of price discovery ranges from 0.2 percent to 98.2 percent, with an average of 38.1 percent. The U.S. share is directly related to the U.S. share of trading and to the ratio of proportions of informative trades on the U.S. exchange and the TSE, and inversely related to the ratio of bid-ask spreads.

Suggested Citation

Eun, Cheol S. and Sabherwal, Sanjiv, Cross-Border Listings and Price Discovery: Evidence from U.S.-Listed Canadian Stocks. Available at SSRN: https://ssrn.com/abstract=416656

Cheol S. Eun (Contact Author)

Georgia Institute of Technology - Finance Area ( email )

800 West Peachtree St.
Atlanta, GA 30308
United States

Sanjiv Sabherwal

University of Texas at Arlington - Department of Finance and Real Estate ( email )

Box 19449 UTA
Arlington, TX 76019
United States
817-272-3705 (Phone)
817-272-2252 (Fax)

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