Cross-listing and firm liquidity on the stock exchange of Hong Kong

Article Abstract:

Keywords: Accounting research, Stock markets, International business, Liquidity, Hong Kong, United Kingdom The purpose of this paper is to investigate liquidity differences between Hong Kong companies that choose to cross list on the London Stock Exchange and those that list only on the local market, the Stock Exchange of Hong Kong. Each of these exchanges is among the ten largest in the world by market capitalization and represents a major source of new equity issuances within their respective regions of Europe and Asia. We compare the magnitudes of bid-ask spreads and depths for cross-listed and non-cross-listed firms over a 16-month period using a sample of 981,183 intra-day observations. Consistent with our hypotheses, relative bid-ask spreads are significantly lower and depths are significantly higher for the cross-listed sample, even after controlling for differences in price, volume, return variance, and inter-temporal patterns. This evidence strongly confirms the liquidity advantage of cross-listed firms and contributes to our understanding of the motivations for, and effects of, equity cross listings.

Hong Kong, Finance

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Cross-listing and firm liquidity on the stock exchange of Hong Kong

Article Abstract:

A relationship was established between liquidity and cross listing of shares on multiple exchanges. A sample of 981,183 intra-day observations involving cross-listed and non-cross-listed firms reveals that cross-listed firms have substantially lower relative bid-ask spreads than their non-cross-listed counterparts. Such firms also have substantially high dollar depths. High levels of liquidity persist among cross-listed firms after controlling differences in volume, price, return variance and intertemporal patterns.

London, England, Securities, Liquidity (Finance)

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An analysis of depth behavior in an electronic, order-driven environment

Article Abstract:

The behavior of stock exchanges using order-driven electronic environments is examined in detail.

Economic aspects, Technology application, Financial markets

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