The U.S. Share of Trading Volume in Cross-Listings: Evidence from Canadian Stocks

Authors


  • I thank an anonymous referee and Arnie Cowan (the editor) for helpful suggestions that have substantially improved this paper. I also thank seminar participants at Drexel University, Oklahoma State University, and the University of Texas at Arlington for helpful comments. I thank Thomson Financial for providing the First Call data, and Tim McCormick, formerly of Nasdaq Economic Research, for providing some of the Nasdaq data used in this paper. Part of the work on this paper was completed while I was at the University of Rhode Island.

* Corresponding author: Department of Finance and Real Estate, College of Business Administration, Box 19449, Arlington, TX 76019; Phone: (817) 272-5520; E-mail: sabherwal@uta.edu

Abstract

I analyze the firm-specific determinants of the U.S. share of trading volume for 126 U.S.-listed Canadian firms. I find that the U.S. share of volume is directly related to the mass of informed and liquidity traders in the United States relative to Canada, as proxied by relative analyst following, relative duration of listing, and the U.S. share of sales. Evidence also supports the market liquidity argument that the market with lower spreads and greater depths has greater volume. Finally, the U.S. share is directly related to the relative sensitivity of the stock's value to information in the United States.

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