Does Information Vault Niagara_Falls? Cross-listed trading in New York and Toronto

CORC > 厦门大学 > 王亚南院－已发表论文

	Does Information Vault Niagara_Falls? Cross-listed trading in New York and Toronto
	Haiqiang Chen ; Paul Moon Sub Choi
刊名	http://www.wise.xmu.edu.cn/paperInfor.asp?id=241
	2013-11-08
关键词	Cross-listing Probability of informed trading Information share Price discovery Convergence speed Bid–ask spread
英文摘要	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) hasmore 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.; This paper has been accepted by Journal of Empirical Finance.
语种	中文
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/56958]
专题	王亚南院－已发表论文
推荐引用方式 GB/T 7714	Haiqiang Chen,Paul Moon Sub Choi . Does Information Vault Niagara_Falls? Cross-listed trading in New York and Toronto[J]. http://www.wise.xmu.edu.cn/paperInfor.asp?id=241,2013.
APA	Haiqiang Chen,&Paul Moon Sub Choi .(2013).Does Information Vault Niagara_Falls? Cross-listed trading in New York and Toronto.http://www.wise.xmu.edu.cn/paperInfor.asp?id=241.
MLA	Haiqiang Chen,et al."Does Information Vault Niagara_Falls? Cross-listed trading in New York and Toronto".http://www.wise.xmu.edu.cn/paperInfor.asp?id=241 (2013).