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dc.contributor.authorMoulton, Pamela
dc.contributor.authorWei, Li
dc.date.accessioned2020-09-12T21:08:20Z
dc.date.available2020-09-12T21:08:20Z
dc.date.issued2009-01-01
dc.identifier.other4955756
dc.identifier.urihttps://hdl.handle.net/1813/72100
dc.description.abstractThis article examines how the market quality of European cross-listed stocks is affected by the partial-day availability of close substitutes, i.e., shares of the same companies that are traded in their home markets but are not fully fungible with the cross-listed shares. Our findings suggest that narrower spreads and more competitive liquidity provision during overlapping trading hours reflect a significant impact from the availability of more substitutes in addition to the enhanced information environment and liquidity externalities when home markets are open. Our results also provide a richer picture of specialists’ intraday activities and offer new evidence of market integration.
dc.language.isoen_US
dc.rightsRequired Publisher Statement: © Elsevier. Final version published as: Moulton, P. C., & Wei, L. (2009). A tale of two time zones: The impact of substitutes on cross-listed stock liquidity. Journal of Financial Markets, 12(4), 570-591. Reprinted with permission. All rights reserved.
dc.subjectsubstitutes
dc.subjectcross-listing
dc.subjectspecialist
dc.subjectliquidity externalities
dc.titleA Tale of Two Time Zones: The Impact of Substitutes on Cross-Listed Stock Liquidity
dc.typearticle
dc.relation.doihttps://doi.org/10.1016/j.finmar.2009.03.004
dc.description.legacydownloadsMoulton7_A_Tale_of_Two_Time_Zones.pdf: 612 downloads, before Aug. 1, 2020.
local.authorAffiliationMoulton, Pamela: pm388@cornell.edu Cornell University School of Hotel Administration
local.authorAffiliationWei, Li: Citigroup Global Capital Markets


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