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Cross Return Volatility And Order Imbalance In International Cross Listings
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Book Synopsis Cross Return, Volatility and Order Imbalance in International Cross Listings by : Yong-chern Su
Download or read book Cross Return, Volatility and Order Imbalance in International Cross Listings written by Yong-chern Su and published by . This book was released on 2010 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: The globalization of financial markets motivates plenty of non-U.S. companies listing their shares on the U.S. exchanges. Following Eun and Sabherwal (2003), we investigate the extent to which the NYSE and the TSX contribute to price discovery of the Canadian Stocks listing on these exchanges. By examining the effect of contemporaneous order imbalances on cross-border stock returns, we find that contemporaneous imbalance on the NYSE is significant to the stock returns on the TSX. Since the U.S. exchanges are the most liquid and largest exchanges in the world, they play a leading role in capital markets. Our findings imply that the NYSE significantly contributes to price discovery.Besides, we apply GARCH (1, 1) model to test the effect of contemporaneous imbalance on the cross-listing returns and the effect of trading volume on foreign return variance. We find that there is a significant influence of trading volume in domestic/foreign markets on the volatility of the stock return in foreign/domestic markets in our empirical results. The evidence shows that cross-listing helps informed traders distribute their trading across the two markets to make use of private information between the markets. This activity results in the increasing generation of private information, and then causes an increase in the stock return variance. However, contemporaneous order imbalance on the TSX/NYSE does not have an important impact on the stock returns on the NYSE/TSX. It means that order is not a good indicator of information flow. The significance in GARCH (1, 1) model comes from trading volume to the return volatility, not to the stock return. The insignificance for effect of order imbalance on the cross-board return represents limited capital flow between countries. The view supports evidence of segmentation between Canadian and the U.S. markets suggested by Foerster and Karolyi (1993).
Book Synopsis Cross Return, Volatility and Order Imbalance in International Cross-listings by : 陳佩忻
Download or read book Cross Return, Volatility and Order Imbalance in International Cross-listings written by 陳佩忻 and published by . This book was released on 2008 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The World of Cross-listings and Cross-listings of the World by : Christopher C. Géczy
Download or read book The World of Cross-listings and Cross-listings of the World written by Christopher C. Géczy and published by . This book was released on 2004 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Volatility, Trading Mechanisms and International Cross-listing by : Margaret M. Forster
Download or read book Volatility, Trading Mechanisms and International Cross-listing written by Margaret M. Forster and published by . This book was released on 1992 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Impact of Foreign Cross-Listings on Symmetric Information Spillovers between Markets by : Koulakiotis Athanasios
Download or read book The Impact of Foreign Cross-Listings on Symmetric Information Spillovers between Markets written by Koulakiotis Athanasios and published by . This book was released on 2004 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops the approach suggested by Howe, Madura and Tucker (1993) to examine the impact of cross listing on stock price volatility in Europe. A primary focus of this paper is to provide a different methodology than the one adopted by Howe, Madura and Tucker (1993) using a modified GARCH (Generalized Autoregressive Conditional Heteroskedasticity) modeling approach as suggested by Li and Engle (1998), to examine the impact of cross-listings on volatility spillovers. The analysis also takes into account the influence of different regulatory structures across the markets where firms are cross-listed. In particular, we use LaPorta et al.'s (1998) broad stock market regulatory classification to analyze the magnitude and persistence of volatility spillovers from the foreign listing to the home equity of cross listed companies in the Paris stock exchange. We find that information spillover effects are important for the Paris market for cross-listed equities and that different regulatory environments have a significant impact on information spillovers. Volatility transmissions from foreign listing in lax regulatory environments appear to be more important for spillovers to home equity cross-listings in the case of the French stock exchange.
Book Synopsis A Theory of the Impact of International Cross-listing by : Ruth Janine Freedman
Download or read book A Theory of the Impact of International Cross-listing written by Ruth Janine Freedman and published by . This book was released on 1991 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Cross-Listing by : Richard Podpiera
Download or read book International Cross-Listing written by Richard Podpiera and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the effects of market fragmentation and information flows in the case of stocks cross-listed on markets in Central Europe and London. First, we test for co-movement, interaction and error correction behavior between the local and London markets. Our results suggest that strong interactions exist between these markets, with the London market being slightly more important than the local one. The two prices of cross-listed stocks are cointegrated and pricing errors are corrected over a few days. These interactions suggest partial fragmentation. Second, we extend an earlier model to examine the impact of foreign listing on the variance of local returns. The focus of previous studies has concentrated almost exclusively on the return of cross-listed securities. The variance of returns has remained mostly unnoticed, even though some studies noted an increase of variance after the cross-listing. In our model, we introduce a new factor that influences return variance: tighter interaction with foreign markets as a consequence of cross-listing. Estimation results lend support to our model.
Book Synopsis Trading Costs and Return Volatility by : Hendrik Bessembinder
Download or read book Trading Costs and Return Volatility written by Hendrik Bessembinder and published by . This book was released on 1998 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Cross-Listing and Order Flow Migration by : Ian Domowitz
Download or read book International Cross-Listing and Order Flow Migration written by Ian Domowitz and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Policy makers in emerging markets are increasingly concerned about the consequences for the domestic equity market when a company lists its stock abroad. We show that the effects of cross-listing depends on market transparency, i.e., the quality of inter-market information linkages. We investigate these issues with unique data from the Mexican equity market. The impact of cross-listing is complex, balancing the costs of order flow migration against the benefits of increased inter-market competition. These effects are exacerbated by equity investment barriers that induce segmentation of the domestic equity market. Consequently, the benefits and costs of cross-listing are not evenly spread over all classes of shareholders.
Book Synopsis Trading Hours, Information Flow and International Cross- Listing by : Margaret M. Forster
Download or read book Trading Hours, Information Flow and International Cross- Listing written by Margaret M. Forster and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the volatility of information-related price changes of NYSE stocks that are traded in London and/or Tokyo, British and Japanese stocks that are cross-listed on the NYSE, and similar stocks that are not traded abroad. Examination of the impact of a security's primary and cross listings on the relative variance of daytime and overnight NYSE returns indicates that: (i) among stocks with identical overall listings, the rate of information flow into the prices of Japanese and British stocks is significantly less than that of U.S. stocks during NYSE trading hours; (ii) the rate of information flow into the prices of U.S. stocks when the NYSE is closed is greater for U.S. stocks cross-listed in Tokyo than non-cross-listed U.S. stocks, but not for U.S. stocks cross-listed in London; and (iii) the rate of information flow into the prices of foreign stocks during NYSE trading hours is greater, the greater is their NYSE volume. These results are consistent with the hypotheses that (a) both public and private information flow into prices at a greater rate when a stock's primary market is open than when it is closed, even if off-shore trading opportunities are available; and (b) foreign trading does facilitate price discovery if there is sufficient trading activity in the foreign market.
Book Synopsis Return Volatility, Cross-sectional Dispersion, and Trading Activity in the Equity and Futures Markets by : Hendrik Bessembinder
Download or read book Return Volatility, Cross-sectional Dispersion, and Trading Activity in the Equity and Futures Markets written by Hendrik Bessembinder and published by . This book was released on 1993 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Cross-Listings and Home Market Trading Volume by : Thomas H. McInish
Download or read book Cross-Listings and Home Market Trading Volume written by Thomas H. McInish and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Cross-listings of equities internationally are becoming more common. Using data for Europe and North America, previous studies reject the order flow diversion hypothesis, which states that international cross-listings reduce home country trading volume. We test this hypothesis using data for equities cross-listed in Singapore and Malaysia. We find that trading volume in Malaysia fell 42.9 percent when Singapore markets were closed for holidays. Further, we show that trading volume in Malaysia did not increase following the implementation of regulations that ended the trading of Malaysian equities in Singapore in 1998. Hence, we reject the order flow diversion hypothesis.
Book Synopsis The Cross-Market Information Content of Stock and Bond Order Flow by : Shane Underwood
Download or read book The Cross-Market Information Content of Stock and Bond Order Flow written by Shane Underwood and published by . This book was released on 2008 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper I test the hypothesis that trading activity in the stock and bond markets contains important marketwide pricing information. Using a large sample of actively traded stocks and U.S. Treasury securities, I find that aggregate order imbalances play a strong role in explaining cross-market returns. I interpret this as evidence that aggregate order flow reveals information about the risk preferences, beliefs, and endowments of the investor population that is relevant for pricing securities in both markets. I also find evidence that cross-market hedging is an important source of linkages across the two markets, especially during periods of elevated equity volatility.
Book Synopsis The impact of cross listing on the stock price and the volatility in the domestic market by : Maria Thomopoulou
Download or read book The impact of cross listing on the stock price and the volatility in the domestic market written by Maria Thomopoulou and published by . This book was released on 2005 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Information, Trading Volume, and International Stock Return Comovements by : Louis Gagnon
Download or read book Information, Trading Volume, and International Stock Return Comovements written by Louis Gagnon and published by . This book was released on 2010 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the joint dynamics of returns and trading volume of 556 foreign stocks cross-listed on U.S. markets. Heterogeneous-agent trading models rationalize how trading volume reflects the quality of traders' information signals and how it helps to disentangle whether returns are associated with portfolio-rebalancing trades or information-motivated trades. Based on these models, we hypothesize that returns in the home (U.S.) market on high-volume days are more likely to continue to spill over into the U.S. (home) market for those cross-listed stocks subject to the risk of greater informed trading. Our empirical evidence provides support for these predictions, which confirms the link between information, trading volume, and international stock return comovements that has eluded previous empirical investigations.
Book Synopsis Idiosyncratic return volatility in the cross-section of stocks by : Namho Kang
Download or read book Idiosyncratic return volatility in the cross-section of stocks written by Namho Kang and published by . This book was released on 2011 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Does International Cross-Listing Improve the Information Environment? by : Nuno Fernandes
Download or read book Does International Cross-Listing Improve the Information Environment? written by Nuno Fernandes and published by . This book was released on 2007 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate whether cross-listing in the U.S. affects the information environment for non-U.S. stocks. Our findings suggest cross-listing has an asymmetric impact on stock price informativeness around the world, as measured by firm-specific stock return variation. Cross-listing improves price informativeness for developed market firms. For firms in emerging markets, however, cross-listing decreases price informativeness. We also find that price informativeness increases the most for firms in countries with the greatest investor protection. The added analyst coverage associated with cross-listing likely explains the findings in emerging markets, rather than changes in liquidity, ownership, or accounting quality. Our results indicate that the added analyst coverage fosters the production of marketwide information, rather than firm-specific information.
