Business Faculty Publications

Title

The Determinants Of Trading Volume Distribution: Evidence From Globally Cross-Listed Stocks

Document Type

Article

Publication Date

7-1-2014

Publication Title

Journal of Multinational Financial Management

Keywords

cross-border listing; information factor; American depository receipts; ADR; trading volume distribution

Disciplines

Finance and Financial Management | Portfolio and Security Analysis

Abstract

This paper documents the global trading volume distribution of cross-listed stocks and examines factors that make a host market competitive in attracting order flows between host and home markets. We hand-collect a sample of 642 cross-listed firms in 10 host countries with 771 cross-listings from 39 home countries between 1981 and 2010. We document that, for the first time, whether a host market shares the language or legal origin with the home markets has significant impact on attracting order flows. We also find that host markets are more successful in attracting trading volume when they have a higher information factor, have lower bid-ask spreads, provide better investor protection and information disclosure, and are closer to the home market. Additionally, small but mature high-tech firms with high growth rate, volatile stock returns and high foreign sales are prone to execute more trading in host markets.

DOI

10.1016/j.mulfin.2014.06.003

Version

Postprint

Volume

25-26

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