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

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aut.filerelease.date2025-03-24
aut.relation.journalJournal of Empirical Finance
dc.contributor.authorDodd, Olga
dc.contributor.authorFrijns, Bart
dc.contributor.authorIndriawan, Ivan
dc.contributor.authorPascual, Roberto
dc.date.accessioned2023-03-30T21:15:40Z
dc.date.available2023-03-30T21:15:40Z
dc.date.issued2023-03-24
dc.description.abstractWe 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.
dc.identifier.citationJournal of Empirical Finance, ISSN: 0927-5398 (Print), Elsevier BV. doi: 10.1016/j.jempfin.2023.03.012
dc.identifier.doi10.1016/j.jempfin.2023.03.012
dc.identifier.issn0927-5398
dc.identifier.urihttps://hdl.handle.net/10292/16060
dc.languageen
dc.publisherElsevier BV
dc.relation.urihttps://www.sciencedirect.com/science/article/abs/pii/S0927539823000348
dc.rights.accessrightsOpenAccess
dc.subject38 Economics
dc.subject3502 Banking, Finance and Investment
dc.subject3801 Applied Economics
dc.subject35 Commerce, Management, Tourism and Services
dc.subject1402 Applied Economics
dc.subject1403 Econometrics
dc.subject1502 Banking, Finance and Investment
dc.subjectFinance
dc.subject3502 Banking, finance and investment
dc.subject3801 Applied economics
dc.titleUS Cross-Listing and Domestic High-Frequency Trading: Evidence From Canadian Stocks
dc.typeJournal Article
pubs.elements-id497769
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