Determinants of Liquidity (Re-)Allocation and the Decision to Cross-List or Cross-Delist

Item Type Journal paper
Abstract

This paper examines the factors influencing the liquidity allocation between local and foreign dual listings. Based on a comprehensive data set covering the period between 2001 and 2011, empirical results suggest that the fraction of trading in the foreign listing decreases with a higher degree of stock market Integration measured as the stock price correlation with the world market. Furthermore, the
analysis of individual cross-listings reveals that both an improvement of a country’s state of economic development and a better regulatory Environment significantly affect the allocation of trading. While an improvement in economic development increases both, local and foreign liquidity, a strengthening of regulatory standards leads to a decrease in trading volumes at foreign exchanges. Finally, the liquidity share in the foreign listing is found to decrease over time, a trend which turns out to be driven by developing rather than by developed markets.

Authors Füss, Roland; Hommel, Ulrich & Plagge, Jan-Carl
Journal or Publication Title International Journal of Finance & Economics : IJFE
Language English
Keywords Cross-listing; capital market regulation; economic development; liquidity allocation; market integration.
Subjects economics
finance
Institute/School ?? SoF Pr Inst ??
s/bf - Swiss Institute of Banking and Finance
SEW - Swiss Institute for Empirical Economic Research
HSG Classification contribution to scientific community
Refereed No
Date 6 June 2016
Publisher Wiley
Place of Publication Chichester, Sussex
Volume 21
Number 4
Page Range 447-471
Number of Pages 49
ISSN 1076-9307
ISSN-Digital 1099-1158
Publisher DOI 10.1002/ijfe.1555
Official URL http://onlinelibrary.wiley.com/doi/10.1002/ijfe.15...
Contact Email Address roland.fuess@unisg.ch
Depositing User Beatrix Kobelt-Glock
Date Deposited 06 Jun 2016 07:20
Last Modified 12 Feb 2018 05:20
URI: https://www.alexandria.unisg.ch/publications/248468

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Citation

Füss, Roland; Hommel, Ulrich & Plagge, Jan-Carl (2016) Determinants of Liquidity (Re-)Allocation and the Decision to Cross-List or Cross-Delist. International Journal of Finance & Economics : IJFE, 21 (4). 447-471. ISSN 1076-9307

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https://www.alexandria.unisg.ch/id/eprint/248468
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