Cross-listing and Trading on the Domestic Market: Evidence from Canada-US Partial Holidays

:  This study uses intraday data to analyze security trading during partial holidays. The objectives include understanding the trading environment during such holidays and learning whether cross‐listing Canadian securities on the New York Stock Exchange (NYSE) affects liquidity, the information envi...

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Bibliographic Details
Published in:Journal of business finance & accounting 2008-11, Vol.35 (9-10), p.1245-1275
Main Authors: Tannous, George F., Zhang, Ying
Format: Article
Language:English
Subjects:
Asymmetric information
Canada
cross-listing
Domestic markets
Holidays
Holidays & special occasions
information asymmetry
Liquidity
liquidity effects
Market analysis
Market structure
order flow
partial holidays
Seasonal fluctuations
Securities issues
Securities trading
Securities trading volume
Spread
Stock exchange
Stock exchanges
Stockbrokers
Studies
Trade volume
U.S.A
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Summary::  This study uses intraday data to analyze security trading during partial holidays. The objectives include understanding the trading environment during such holidays and learning whether cross‐listing Canadian securities on the New York Stock Exchange (NYSE) affects liquidity, the information environment, and trading volume on the domestic market. We find that the bid‐ask spread increases significantly during Canadian or United States (US) partial holidays. Informed trading, average transaction size, and trading volume on the Toronto Stock Exchange (TSX) drop during US partial holidays, while the changes on the NYSE during Canadian partial holidays are insignificant. This result suggests that during US partial holidays the ratio of institutional‐to‐retail trading on the TSX decreases.
ISSN:0306-686X
1468-5957
DOI:10.1111/j.1468-5957.2008.02105.x