The impact of NYSE closure on global market liquidity

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aut.conference.typePublished Abstract
aut.researcherDodd, Olga
dc.contributor.authorDodd, O
dc.contributor.authorFrijns, B
dc.date.accessioned2014-02-18T01:06:04Z
dc.date.accessioned2014-02-18T02:05:02Z
dc.date.accessioned2014-02-19T00:26:23Z
dc.date.available2014-02-18T01:06:04Z
dc.date.available2014-02-18T02:05:02Z
dc.date.available2014-02-19T00:26:23Z
dc.date.copyright2013-12-17
dc.date.issued2013-12-17
dc.description.abstractThis 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.
dc.identifier.citation2013 Auckland Finance Meeting held at Auckland Centre for Financila Research, Auckland University of Technology, Auckland, New Zealand, 2013-12-15 to 2013-12-17
dc.identifier.urihttps://hdl.handle.net/10292/6840
dc.publisherAuckland Centre for Financial research, Auckland University of Technology
dc.relation.replaceshttp://hdl.handle.net/10292/6821
dc.relation.replaces10292/6821
dc.relation.replaceshttp://hdl.handle.net/10292/6824
dc.relation.replaces10292/6824
dc.relation.urihttp://www.acfr.aut.ac.nz/conferences-and-events/2013-auckland-finance-meeting/academic-programme
dc.rightsAuckland University of Technology (AUT) encourages public access to AUT information and supports the legal use of copyright material in accordance with the Copyright Act 1994 (the Act) and the Privacy Act 1993. Unless otherwise stated, copyright material contained on this site may be in the intellectual property of AUT, a member of staff or third parties. Any commercial exploitation of this material is expressly prohibited without the written permission of the owner.
dc.rights.accessrightsOpenAccess
dc.subjectStock liquidity
dc.subjectNYSE
dc.subjectStock market closure
dc.subjectCross-listing
dc.titleThe impact of NYSE closure on global market liquidity
dc.typeConference Contribution
pubs.elements-id160822
pubs.organisational-data/AUT
pubs.organisational-data/AUT/Business & Law
pubs.organisational-data/AUT/Business & Law/Finance
pubs.organisational-data/AUT/Business & Law/Finance/Finance PBRF 2012
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