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Keywords:

  • cross-listings;
  • financial crisis;
  • information shares
  • G14;
  • G15;
  • N20

ABSTRACT

Previous results show relatively small amounts of time variation in the Hasbrouck (1995) information share across international markets. Using data from a security that was cross-listed on the New York and London Stock Exchanges in the 1860s, we find that the information share changes dramatically during a financial crisis that began in the foreign market.