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THREE ESSAYS ON PRICING AND VOLUME DISTRIBUTIONS OF CROSS-LISTED STOCKS

Wang, Jing
http://rave.ohiolink.edu/etdc/view?acc_num=csu1421369950

Abstract Details

2014, Doctor of Business Administration, Cleveland State University, Monte Ahuja College of Business.
This dissertation provides empirical evidences in global cross-listed stocks trading volume and pricing. The first essay documents the global trading volume distribution of cross-listed stocks and examines factors that make a host market competitive in attracting order flows from the counterpart domestic market. The results show that host markets are more successful in attracting trading volume when they have a higher information factor, have lower bid-ask spreads, provide better investor protection and information disclosure, share the common language or legal origin with the counterpart home markets and locate closer to the home market. The second essay investigates the market competitiveness among rival host markets based on a unique sample of global firms simultaneously cross-listed in multiple foreign countries. I present the global cross-listings and trading volume distributions cross host-home markets as well as over time, and provide robust evidences that host markets are more successful in attracting trading volume from other competing markets when they have lower bid-ask spreads, better legal protection, more market liquidity, higher level of financial development, and where the firms with longer listing history. Interesting, I consistently find that host countries with English common law origins are able to attract trading volume while French civil law origin host countries attract less trading activities. The third essay investigates the cross-listed stock price discovery process. I use synchronous trading data and the error correction model to find that prices on the home and the U.S. markets are co-integrated and mutually adjusting. The price adjustment in response to price disparity happens in both the home market and the U.S. (host) market. In most cases, domestic prices are dominant for the price discovery. However, I also observe a statistically significant amount of feedback from the U.S. markets. The greater the competition offered by the U.S. market, represented as larger U.S. proportion of trading volume, more informative U.S. share price, more liquidity, better legal protection and closer to the home market, the more price adjustment from domestic side toward the U.S. price.
Haigang Zhou, PhD (Committee Chair)
Alan Reichert, PhD (Committee Member)
Xiankui (Bill) Hu, PhD (Committee Member)
Walter Rom, PhD (Committee Member)
170 p.
Finance
cross-listing, cross-border listing, ADR, American depository receipts, delisting, SOX, GDR, trading volume, order flow, price disparity, price discovery, ECM, error correction modelf

Recommended Citations

Citations

  • Wang, J. (2014). THREE ESSAYS ON PRICING AND VOLUME DISTRIBUTIONS OF CROSS-LISTED STOCKS [Doctoral dissertation, Cleveland State University]. OhioLINK Electronic Theses and Dissertations Center. http://rave.ohiolink.edu/etdc/view?acc_num=csu1421369950

    APA Style (7th edition)

  • Wang, Jing. THREE ESSAYS ON PRICING AND VOLUME DISTRIBUTIONS OF CROSS-LISTED STOCKS. 2014. Cleveland State University, Doctoral dissertation. OhioLINK Electronic Theses and Dissertations Center, http://rave.ohiolink.edu/etdc/view?acc_num=csu1421369950.

    MLA Style (8th edition)

  • Wang, Jing. "THREE ESSAYS ON PRICING AND VOLUME DISTRIBUTIONS OF CROSS-LISTED STOCKS." Doctoral dissertation, Cleveland State University, 2014. http://rave.ohiolink.edu/etdc/view?acc_num=csu1421369950

    Chicago Manual of Style (17th edition)

csu1421369950
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This open access ETD is published by Cleveland State University and OhioLINK.