TY - JOUR
T1 - The Determinants Of Trading Volume Distribution: Evidence From Globally Cross-Listed Stocks
AU - Wang, Jing
AU - Zhou, Haigang
N1 - Wang, J. & Zhou, H. (2014). The determinants of trading volume distribution: Evidence from globally cross-listed stocks. Journal of Multinational Financial Management, 25-26, 64-94. doi: 10.1016/j.mulfin.2014.06.003
PY - 2014/7/1
Y1 - 2014/7/1
N2 - 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.
AB - 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.
KW - cross-border listing; information factor; American depository receipts; ADR; trading volume distribution
UR - https://engagedscholarship.csuohio.edu/bus_facpub/201
U2 - 10.1016/j.mulfin.2014.06.003
DO - 10.1016/j.mulfin.2014.06.003
M3 - Article
VL - 25-26
JO - Journal of Multinational Financial Management
JF - Journal of Multinational Financial Management
ER -