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

The determinants of price discovery: Evidence from US-Canadian cross-listed shares

“…In a more recent study, Chen and Choi (2012), by incorporating relative measures of informed trades (PIN), observe that the TSX leads in price discovery and also shows a higher PIN than the NYSE. In other words, the trading venue with the heavier intensity of informed trades contributes more to the price discovery of cross-listed pairs.…”

Industry co-movement and cross-listing: Do home country factors matter?

“…Eun and Sabherwal (2003) and Grammig et al (2005) indicate that price discovery takes place in more liquid markets in a cross-listing field. Further, Chen and Choi (2012) find that the informed traders who exploit liquid trading environment on the exchange are postulated to be the leadership of a price discovery process. Unlike existing studies, we hypothesize that a better financial sector brings financial integration and thus increases ADR industry co-movement with its home country.…”

How smooth is price discovery? Evidence from cross-listed stock trading

“…These models provide various estimates of the adjustment coefficients and, thus, information shares. 10 Following Eun and Sabherwal (2003) and Chen and Choi (2012), we choose to study Canadian stocks listed in the U.S. for several reasons. First, Canadian equities are the largest group of stocks cross-listed in the U.S. from any single country.…”

“…Temporary and regulatory bans of short sales on the home exchanges of certain ADRs render arbitrageurs' transactions more costly thereby increasing their required returns (Bris et al, 2007). The hidden hurdles to swift parityconvergences of cross-listed pairs may stem from cross-border differential adverse selection risks (Chen and Choi, 2012) and agency walls between the entrusted arbitrageurs and their investor clients (Shleifer and Vishney, 1997).…”