US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks

O Dodd, B Frijns, I Indriawan*, R Pascual

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review


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.
Original languageEnglish
Pages (from-to)301-320
Number of pages20
JournalJournal of Empirical Finance
Publication statusPublished - Jun 2023


  • Cross-market arbitrage
  • Equity markets
  • High-frequency trading
  • Liquidity
  • US cross-listing
  • US news announcements


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