View : 21 Download: 0

Does information vault Niagara Falls? Cross-listed trading in New York and Toronto

Title
Does information vault Niagara Falls? Cross-listed trading in New York and Toronto
Authors
Chen H.Choi P.M.S.
Ewha Authors
최문섭
SCOPUS Author ID
최문섭scopus
Issue Date
2012
Journal Title
Journal of Empirical Finance
ISSN
0927-5398JCR Link
Citation
vol. 19, no. 2, pp. 175 - 199
Indexed
SSCI; SCOPUS WOS scopus
Abstract
We document differential private information in cross-border asset pricing using the probability of informed trading (PIN) for Canadian shares traded on both sides of Niagara Falls. Relative to the New York Stock Exchange (NYSE), the Toronto Stock Exchange (TSX) has more informed trades and a larger information share. This cross-border information imbalance is associated with small but positive price premiums in New York as predicted by a model. The dynamics of these premiums depends on trade informativeness. Lastly, the PIN for TSX trading typically rises upon cross-listing on the NYSE, which is consistent with the negative event-study response. © 2012 Elsevier B.V..
DOI
10.1016/j.jempfin.2012.01.001
Appears in Collections:
경영대학 > 경영학전공 > Journal papers
Files in This Item:
There are no files associated with this item.
Export
RIS (EndNote)
XLS (Excel)
XML


qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

BROWSE