Volume Dynamics and Multimarket Trading

44 Pages Posted: 23 Sep 2009 Last revised: 20 May 2011

See all articles by Michael Halling

Michael Halling

University of Luxembourg

Pamela C. Moulton

Cornell University - SC Johnson College of Business

Marios A. Panayides

University of Cyprus - Department of Accounting and Finance; University of Pittsburgh - Katz Graduate School of Business

Date Written: February 28, 2011

Abstract

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

Halling, Michael and Moulton, Pamela C. and Panayides, Marios A., Volume Dynamics and Multimarket Trading (February 28, 2011). AFA 2011 Denver Meetings Paper, Available at SSRN: https://ssrn.com/abstract=1476850 or http://dx.doi.org/10.2139/ssrn.1476850

Michael Halling

University of Luxembourg ( email )

L-1511 Luxembourg
Luxembourg

Pamela C. Moulton (Contact Author)

Cornell University - SC Johnson College of Business ( email )

Ithaca, NY 14853
United States

Marios A. Panayides

University of Cyprus - Department of Accounting and Finance ( email )

University of Cyprus
P.O. Box 20537
Nicosia, CY-1678
Cyprus

University of Pittsburgh - Katz Graduate School of Business ( email )

372 Mervis Hall
Pittsburgh, PA 15260
United States

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