Show simple item record

dc.contributor.authorWoo, Seung Wonen_US
dc.date.accessioned2014-07-28T19:25:05Z
dc.date.available2019-05-26T06:02:42Z
dc.date.issued2014-05-25en_US
dc.identifier.otherbibid: 8641236
dc.identifier.urihttps://hdl.handle.net/1813/37130
dc.description.abstractMy dissertation studies the influence of global institutional investors on liquidity distribution and excess comovement in returns for cross-listed stocks around the world. Furthermore, my dissertation investigates the impact of investor protection change on the liquidity distribution of cross-listed stocks. Chapter 1 studies how global institutional investors' selection of trading venues influences the liquidity distribution of cross-listed stocks on 19 target ("host") markets around the world. I document strong empirical evidence indicating that institutional investors gravitate towards markets that are more geographically, culturally, and economically proximate. However, institutional investor's familiarity preference abates in the selection of trading venues when the target exchange does not furnish detailed rules on trading practices. Chapter 2, co-authored with G. Andrew Karolyi, studies the impact of abrupt change in the U.S. investor protection laws on the location of stock trading for firms with U.S. cross-listings. The U.S. Supreme Court's ruling in the case of Morrison vs. National Australia Bank in June 2010 communicates that civil liability for securities fraud applies only to securities listed on U.S. markets and to security transactions taken place in the U.S. We investigate whether and how the trading volume distribution of U.S. cross-listed stocks changed around the U.S. Supreme Court's ruling on the Morrison case. Our results indicate that for U.S. cross-listed foreign firms, the U.S. market share of trading volume has increased after the Morrison decision. Chapter 3, co-authored with G. Andrew Karolyi, examines the influence of global institutional investors on excess comovement in stock returns using cross-listed stocks around the world. We find that the return differentials between the cross-listed and its ordinary home market share, though small, exhibit excess comovements relative to market index returns, the home and the target market returns. Furthermore, we examine whether institutional investors exert significant influence on excess comovement in the returns of long-short positions that consist of a crosslisted and its counterpart home market shares with respective market index returns. We find that institutional investors domiciled in home country intensify the excess comovement in long-short position returns with the home market returns.en_US
dc.language.isoen_USen_US
dc.titleMultimarket Trading Of Cross-Listed Stocks: Liquidity, Investor Protection, And Excess Comovement In Returnsen_US
dc.typedissertation or thesisen_US
thesis.degree.disciplineEconomics
thesis.degree.grantorCornell Universityen_US
thesis.degree.levelDoctor of Philosophy
thesis.degree.namePh. D., Economics
dc.contributor.chairKarolyi, George Andrewen_US
dc.contributor.committeeMemberMoulton, Pamelaen_US
dc.contributor.committeeMemberBailey, Warren B.en_US


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record

Statistics