French and U.S. trading of cross-listed stocks around the period of U.S. decimalization: Volume, spreads, and depth effects

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dc.contributor.author Lin, Bing-Xuan en_US
dc.contributor.author Oppenheimer, Henry en_US
dc.contributor.author Sabherwal, Sanjiv en_US
dc.contributor.author Michayluk, Dave en_US
dc.contributor.editor en_US
dc.date.accessioned 2010-05-28T09:54:57Z
dc.date.available 2010-05-28T09:54:57Z
dc.date.issued 2009 en_US
dc.identifier 2008008164 en_US
dc.identifier.citation Lin Bing-Xuan et al. 2009, 'French and U.S. trading of cross-listed stocks around the period of U.S. decimalization: Volume, spreads, and depth effects', Elsevier, vol. 18, no. 5, pp. 223-231. en_US
dc.identifier.issn 1057-5219 en_US
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/10240
dc.description.abstract We analyze how U.S. decimalization affects stocks cross-listed in France (Euronext) and the U.S. (NYSE). The French stocks examined are much larger than the non-U.S. stocks examined in prior studies of decimalization, and their U.S. trading is likely to be dominated by institutions. So, we explore whether a reduction in depths in the U.S. due to decimalization makes the U.S. market less competitive for institutions trading these French stocks. We find evidence consistent with the above. First, the average NYSE trade size for these stocks relative to that on Euronext declines substantially after decimalization. Second, we categorize individual trades by the number of shares traded. We find that mainly driven by large trades, the NYSE proportion of trading of French firms declines markedly after decimalization. Third, using regression analysis, we find that the decline in the U.S. share of institutional trading volume is significantly positively related with the decline in NYSE depths relative to Euronext, and the decline is greater for French firms. Overall, we find consistent results indicating a migration of institutional order flow in French firms to France after NYSE decimalization. Also, intraday analysis indicates that the institutional volume in both France and the U.S. is greatest when both the markets are open. en_US
dc.language en_US
dc.publisher Elsevier en_US
dc.title French and U.S. trading of cross-listed stocks around the period of U.S. decimalization: Volume, spreads, and depth effects en_US
dc.parent International Review of Financial Analysis en_US
dc.journal.volume 18 en_US
dc.journal.number 5 en_US
dc.publocation US en_US
dc.identifier.startpage 223 en_US
dc.identifier.endpage 231 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 150200 en_US
dc.personcode 0000031773 en_US
dc.personcode 995682 en_US
dc.personcode 0000030126 en_US
dc.personcode 0000030127 en_US
dc.percentage 100 en_US
dc.classification.name Banking, Finance and Investment en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Cross-listed stocks; Decimalization; Institutions; Liquidity; Trading volume en_US


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