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Where is the Market? Evidence from Cross-Listings in the U.S.

39 Pages Posted: 14 Mar 2006  

Michael Halling

Stockholm School of Economics & Swedish House of Finance

Marco Pagano

University of Naples Federico II - Department of Economics and Statistics; Centre for Studies in Economics and Finance (CSEF); Einaudi Institute for Economics and Finance (EIEF); Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI)

Otto Randl

WU Vienna University of Economics and Business

Josef Zechner

Vienna University of Economics and Business

Date Written: March 2006

Abstract

We explore two main questions. First, can two markets for a company's shares coexist and, if so, what determines the distribution of trading volume across them? For firms cross-listed in the U.S. we find that in most cases the U.S. market attracts a significant fraction of total trading volume, and tends to be more active when the company is based in a country that is geographically close, has low financial development and relatively poor anti-insider trading protection. Moreover, the relative size of the U.S. market is larger if the company is small, volatile and high-tech. Second, we ask whether developing an active foreign market entails lower domestic trading activity. We find that for firms based in developed markets, the domestic turnover rate increases in the wake of cross-listing and remains permanently higher. In contrast, emerging market firms tend to experience a decrease in domestic trading activity.

Keywords: cross-listing, trading volume, trade creation

JEL Classification: G15, G30

Suggested Citation

Halling, Michael and Pagano, Marco and Randl, Otto and Zechner, Josef, Where is the Market? Evidence from Cross-Listings in the U.S. (March 2006). Available at SSRN: https://ssrn.com/abstract=890308 or http://dx.doi.org/10.2139/ssrn.890308

Michael Halling (Contact Author)

Stockholm School of Economics & Swedish House of Finance ( email )

Drottninggatan 98
111 60 Stockholm
Sweden

Marco Pagano

University of Naples Federico II - Department of Economics and Statistics ( email )

Via Cintia - Monte S. Angelo
Napoli, 80126
Italy
+39 081 675306 (Phone)
+39 081 7663540 (Fax)

Centre for Studies in Economics and Finance (CSEF) ( email )

Via Cintia
Complesso Monte S. Angelo
Naples, Naples 80126
Italy

Einaudi Institute for Economics and Finance (EIEF)

Via Sallustiana, 62
Rome, 00187
Italy

Centre for Economic Policy Research (CEPR)

77 Bastwick Street
London, EC1V 3PZ
United Kingdom

European Corporate Governance Institute (ECGI)

c/o ECARES ULB CP 114
B-1050 Brussels
Belgium

HOME PAGE: http:/www.ecgi.org

Otto Randl

WU Vienna University of Economics and Business ( email )

Welthandelsplatz 1
Vienna, 1020
Austria
+ 43 1 313 36 - 5076 (Phone)

Josef Zechner

Vienna University of Economics and Business ( email )

Welthandelsplatz 1
Vienna, Wien A-1019
Austria

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