Abstract
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 language | English |
|---|---|
| Pages (from-to) | 301-320 |
| Number of pages | 20 |
| Journal | Journal of Empirical Finance |
| Volume | 72 |
| DOIs | |
| Publication status | Published - Jun 2023 |
Keywords
- Cross-market arbitrage
- Equity markets
- High-frequency trading
- Liquidity
- US cross-listing
- US news announcements
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