<link rel="stylesheet" href="styles.cf390c6bfbe7555f.css">
Repository logo

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

Thumbnail Image

Files

Author Accepted Manuscript
Size: 956.27 KB, File format: Adobe PDF

Date

2023-03-24

Authors

Dodd, Olga

Frijns, Bart

Indriawan, Ivan

Pascual, Roberto

Supervisor

Item type

Journal Article

Degree name

Journal Title

Journal ISSN

Volume Title

Publisher

Elsevier BV

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.

Description

Keywords

38 Economics, 3502 Banking, Finance and Investment, 3801 Applied Economics, 35 Commerce, Management, Tourism and Services, 1402 Applied Economics, 1403 Econometrics, 1502 Banking, Finance and Investment, Finance

Source

Journal of Empirical Finance, ISSN: 0927-5398 (Print), Elsevier BV. doi: 10.1016/j.jempfin.2023.03.012

DOI

10.1016/j.jempfin.2023.03.012

Publisher's version

https://www.sciencedirect.com/science/article/abs/pii/S0927539823000348

Rights statement

This is the Author's Accepted Manuscript of an article published in the Journal of Empirical Finance by Elsevier, 2023. The published version is available at doi: 10.1016/j.jempfin.2023.03.012

Permanent link

https://hdl.handle.net/10292/16060

Collections

The Business School - Te Kura Kaipakihi

Endorsement

Review

Supplemented By

Referenced By