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

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

Paul Moon Sub Choi2012

Article2012

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

Paul Moon Sub Choi

37 citations·0/0 files stored·Journal of Empirical Finance

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Risk and Volatility Modeling

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1973Risk, Return, and Equilibrium: Empirical Tests 1980Macroeconomics and Reality 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1985Continuous Auctions and Insider Trading 1990Noise Trader Risk in Financial Markets 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

Cited by

2018The interactions between price discovery, liquidity and algorithmic trading for U.S.-Canadian cross-listed shares 2019Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid‐Ask Spread?2016Price Discovery in Equity and CDS Markets 2013On detection of volatility spillovers in overlapping stock markets

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2012How smooth is price discovery? Evidence from cross-listed stock tradingarticle · 21 shared references 2010Do International Cross-Listings Still Matter?preprint · 17 shared references 2007Multimarket Trading and Liquidity: Theory and Evidencearticle · 16 shared references 2004The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdompreprint · 13 shared references 2019Chasing Private Informationarticle · 12 shared references 2012Market Liquidity -- Theory and Empirical Evidencereport · 11 shared references

Details

Year2012

Typearticle

Published2012-01-30

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations37

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jempfin.2012.01.001

openalex_workW1965009509

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