Does information vault Niagara Falls? Cross-listed trading in New York and Toronto
- 주제(키워드) Bid-ask spread , Convergence speed , Cross-listing , Information share , Price discovery , Probability of informed trading
- 등재 SSCI, SCOPUS
- 발행기관 Elsevier BV
- 발행년도 2012
- 총서유형 Journal
- URI http://www.dcollection.net/handler/ewha/000000093428
- 본문언어 영어
- Published As http://dx.doi.org/10.1016/j.jempfin.2012.01.001
초록/요약
We document differential private information in cross-border asset pricing using the probability of informed trading (PIN) for Canadian shares traded on both sides of Niagara Falls. Relative to the New York Stock Exchange (NYSE), the Toronto Stock Exchange (TSX) has more informed trades and a larger information share. This cross-border information imbalance is associated with small but positive price premiums in New York as predicted by a model. The dynamics of these premiums depends on trade informativeness. Lastly, the PIN for TSX trading typically rises upon cross-listing on the NYSE, which is consistent with the negative event-study response. © 2012 Elsevier B.V..
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