Dodd, OlgaFrijns, BartIndriawan, IvanPascual, Roberto2023-03-302023-03-302023-03-24Journal of Empirical Finance, ISSN: 0927-5398 (Print), Elsevier BV. doi: 10.1016/j.jempfin.2023.03.0120927-5398https://hdl.handle.net/10292/16060We 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.38 Economics3502 Banking, Finance and Investment3801 Applied Economics35 Commerce, Management, Tourism and Services1402 Applied Economics1403 Econometrics1502 Banking, Finance and InvestmentFinance3502 Banking, finance and investment3801 Applied economicsJournal ArticleOpenAccess10.1016/j.jempfin.2023.03.012