Volume Dynamics and Multimarket Trading
44 Pages Posted: 23 Sep 2009 Last revised: 20 May 2011
Date Written: February 28, 2011
The trading of shares of the same firm in multiple markets has become common over the last thirty 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.
Keywords: Multimarket trading, Cross-listing, Trading volume, Integration
JEL Classification: G15, G19
Suggested Citation: Suggested Citation