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Volume Dynamics and Multimarket Trading

Published online by Cambridge University Press:  01 March 2013

Michael Halling ,
Pamela C. Moulton  and
Marios Panayides
Michael Halling
Affiliation:
michael.halling@hhs.se, Stockholm School of Economics, Department of Finance, Box 6501, Stockholm SE-113 83, Sweden and University of Utah
Pamela C. Moulton
Affiliation:
pmoulton@cornell.edu, Cornell University, School of Hotel Administration, 435A Statler Hall, Ithaca, NY 14853
Marios Panayides
Affiliation:
mpanayides@katz.pitt.edu, University of Pittsburgh, Katz Graduate School of Business, 334 Mervis Hall, Pittsburgh, PA 15260.
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Abstract

The trading of shares of the same firm in multiple markets has become common over the last 30 years, but there is little empirical evidence on the extent to which investors actively exploit multimarket environments. We introduce a volume-based measure of multimarket trading to address this question. Analyzing a large set of cross-listed firms, we find higher multimarket trading among markets with similar designs and strong enforcement of insider trading laws and for firms with higher institutional ownership. These findings are important for firms evaluating the benefits of cross listing and for markets competing for order flow.

Type
Research Articles
Information
Journal of Financial and Quantitative Analysis , Volume 48 , Issue 2 , April 2013 , pp. 489 - 518
Copyright
Copyright © Michael G. Foster School of Business, University of Washington 2013 

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