A theory of the impact of international cross-listing
Ruth Janine Freedman, University of British Columbia. Faculty of Commerce and Business Administration
Faculty of Commerce & Business Administration, University of British Columbia, 1991 - Business & Economics - 47 pages
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Admati and Pfleiderer competition cost of liquidity cross-listed stock domestic exchange dually and singly-listed Effects of informed expected volume face higher trading higher trading costs information being revealed informativeness of prices informed and liquidity informed traders increases ith informed trader liquidity trading listed stocks lower trading costs market depth parameter Market Liquidity market maker market order model predicts Nash equilibrium normally distributed number of informed opportunity to trade Pfleiderer 1988 precedes London trading prefer to trade price variance Ratio of Var(Pny round of trade Scenario singly-listed stock stock becomes dually-listed Stock Exchange stock is dually-listed table shows Tokyo Stock Exchange total cost total order flow TotalVd traders is sufficiently traders submit trading model trading on London trading on trading trading precedes London Var(P variance of liquidity variance of prices volume of trading x'ny York liquidity traders York market depth York price York trading precedes zi and zny zi/zny