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Does Information Vault Niagara_Falls? Cross-listed trading in New York and Toronto

Id：2166 Date：20131014 Status：published ClickTimes：
作者Haiqiang Chen, Paul Moon Sub Choi
正文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) hasmore 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.
JEL-Codes：G15, G14, D82
关键词：Cross-listing, Probability of informed trading, Information share, Price discovery, Convergence speed, Bid–ask spread
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