Cross-Border Listings and Price Discovery: Evidence from U.S.-Listed Canadian Stocks


  • Cheol S. Eun,

  • Sanjiv Sabherwal

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    • Eun is at Georgia Institute of Technology and Sabherwal is at the University of Rhode Island. We thank Rick Green (the editor), Ajay Khorana, Clifford Lee, Henry Oppenheimer, Stephen Sapp, and Steve Smith for helpful comments and Shih-Ching Jeng for research assistance. We are especially grateful to an anonymous referee for detailed and insightful comments. All errors are our own.


We examine the contribution of cross-listings to price discovery for a sample of Canadian stocks listed on both the Toronto Stock Exchange (TSE) and a U.S. exchange. We find that prices on the TSE and U.S. exchange are cointegrated and mutually adjusting. The U.S. share of price discovery ranges from 0.2 percent to 98.2 percent, with an average of 38.1 percent. The U.S. share is directly related to the U.S. share of trading and to the ratio of proportions of informative trades on the U.S. exchange and the TSE, and inversely related to the ratio of bid-ask spreads.