US Cross-Listing and Domestic High-Frequency Trading: Evidence from Canadian Stocks

Dodd, Olga; Frijns, Bart; Indriawan, Ivan; Pascual, R.

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dc.contributor.author	Dodd, Olga
dc.contributor.author	Frijns, Bart
dc.contributor.author	Indriawan, Ivan
dc.contributor.author	Pascual, R.
dc.date.accessioned	2023-08-03T07:36:21Z
dc.identifier.uri	http://hdl.handle.net/11201/161446
dc.description.abstract	[eng] We find that US cross-listing of Canadian stocks enhances domestic high-frequency trading (HFT) activity in the form of both opportunistic trading and market-making. First, US cross-listing boosts HFT low-latency cross-border arbitrage. This highly correlated HFT arbitrage activity across markets enhances stock price efficiency by correcting mispricing. Second, US cross-listing leads to an increase in news trading activity by high-frequency traders around US public macro-news releases. Finally, cross-listing increases a stock's reliance on high-frequency market makers to provide liquidity. Yet, we find no evidence of higher fragility in liquidity supply after cross-listing.
dc.format	application/pdf
dc.relation.isformatof	Versió postprint del document publicat a: https://doi.org/10.1016/j.jempfin.2023.03.012
dc.relation.ispartof	Journal Of Empirical Finance, 2023, vol. 72, p. 301-320
dc.subject.classification	33 - Economia
dc.subject.other	33 - Economics. Economic science
dc.title	US Cross-Listing and Domestic High-Frequency Trading: Evidence from Canadian Stocks
dc.type	info:eu-repo/semantics/article
dc.type	info:eu-repo/semantics/acceptedVersion
dc.date.updated	2023-08-03T07:36:21Z
dc.date.embargoEndDate	info:eu-repo/date/embargoEnd/2100-01-01
dc.embargo	2100-01-01
dc.rights.accessRights	info:eu-repo/semantics/embargoedAccess
dc.identifier.doi	https://doi.org/10.1016/j.jempfin.2023.03.012