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

27 Scopus citations


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
Issue number2
StatePublished - Mar 2012

Bibliographical note

Funding Information:
Choi is grateful for Kwanjeong Educational Foundation grants 03112BUS044 and 0422USD012 . Chen appreciates the financial support from the Ministry of Education Key Laboratory of Econometrics and the Fujian Provincial Key Laboratory of Statistical Sciences at Xiamen University. Special thanks are due to Professors Warren B. Bailey, Yongmiao Hong, G. Andrew Karolyi, and Maureen O'Hara. We would also like to thank Theo J. Vermaelen (the Editor), anonymous referee, Amber Anand, Hank Bessembinder, Arturo Bris, Jinho Byun, Charles Chang, Jung Hwa Choi, Bhagwan Chowdhry, Craig Doidge, David Easley, Cheol Eun, Stephen Foerster, Louis Gagnon, Yaniv Grinstein, Jungsuk Han, Petri Jilhä, Arzé Karam, Jinho Kim, Sang Soo Kim, Michael King, Lawrence Kryzanowski, Jong Hwan Lee, Tapan Mitra, Andreas Park, Kyung-Hee Park, Sanjiv Sabherwal, Stephen Sapp, Jung Soon Shin, Sophie Shive, Andriy Shkilko, Jungwon Suh, Ashish Tiwari, Kumar Venkataraman, Daniel Weaver, Byung Sam Yoo (honoring his 60th birthday), and participants at European Finance Association 2008 (Athens, Greece), Southwestern Finance Association 2009 (Oklahoma City, Oklahoma), Midwest Finance Association 2009 (Chicago, Illinois), Eastern Finance Association 2009 (Washington, D.C.), INFINITI 2009 (Dublin, Ireland), Northern Finance Association 2009 (Niagara-on-the-Lake, Ontario), Financial Management Association 2009 (Reno, Nevada), and American Economic Association 2010 (Atlanta, Georgia) for invaluable discussion and feedback. We also appreciate technical help from Prasun Agarwal, Jiyoun An, and Mancang Dong. This paper has been awarded the Best Paper Prize in Microstructure at Eastern Finance Association 2009 and the “NFA 2009 & Ivey School” Best Paper Prize at Northern Finance Association 2009. The paper had previously been circulated under the title: “A Trans-Niagara Tale of Informed Traders.” Standard disclaimer rules apply and all errors are of our own.


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


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