Does information vault Niagara Falls? Cross-listed trading in New York and Toronto

Haiqiang Chen, Paul Moon Sub Choi

Research output: Contribution to journalArticlepeer-review

24 Scopus citations

Abstract

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) has more 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.

Original languageEnglish
Pages (from-to)175-199
Number of pages25
JournalJournal of Empirical Finance
Volume19
Issue number2
DOIs
StatePublished - Mar 2012

Keywords

  • Bid-ask spread
  • Convergence speed
  • Cross-listing
  • Information share
  • Price discovery
  • Probability of informed trading

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