The impact of NYSE closure on global market liquidity
This paper examines the impact of NYSE closure on equity trading of cross-listed and non-cross-listed stocks. We argue that the US equity market is an important source of information and its closure will affect liquidity around the globe. Indeed, we find that closure of the NYSE significantly reduces the home market liquidity of both cross-listed and non-cross-listed stocks in our sample. Moreover, we document that stocks that are cross-listed in the US see a greater reduction in liquidity than their non-cross-listed counterparts, which we attribute to deterioration in the information environment or decrease in completion for order flow on days when the NYSE is closed. We further find that cross-listed firms are more affected by NYSE closures when their NYSE trading volume on normal days is higher and when their home market’s returns correlate more with the US market’s returns. Overall, our findings have important implications for our understanding of the transmission of information across markets, and add an extra dimension to the relation between spill-over effects, information transmission and cross-listed stocks.