Cross-Listings and Home Market Trading Volume: The Case of Malaysia and Singapore

Posted: 13 Nov 2001

See all articles by Thomas H. McInish

Thomas H. McInish

University of Memphis - Fogelman College of Business and Economics

Sie Ting Lau

Nanyang Technological University (NTU) - Division of Banking & Finance

Abstract

Cross-listings of equities internationally are becoming more common. Using data for Europe and North America, previous studies reject the order flow diversion hypothesis, which states that international cross-listings reduce home country trading volume. We test this hypothesis using data for equities cross-listed in Singapore and Malaysia. We find that trading volume in Malaysia fell 42.9 percent when Singapore markets were closed for holidays. Further, we show that trading volume in Malaysia did not increase following the implementation of regulations that ended the trading of Malaysian equities in Singapore in 1998. Hence, we reject the order flow diversion hypothesis.

Keywords: market microstructure, order flow diversion

JEL Classification: G15

Suggested Citation

McInish, Thomas H. and Lau, Sie Ting, Cross-Listings and Home Market Trading Volume: The Case of Malaysia and Singapore. Available at SSRN: https://ssrn.com/abstract=279188

Thomas H. McInish (Contact Author)

University of Memphis - Fogelman College of Business and Economics ( email )

Memphis, TN 38152
United States
901-678-4662 (Phone)
901-678-3006 (Fax)

Sie Ting Lau

Nanyang Technological University (NTU) - Division of Banking & Finance ( email )

S3-B1B-76 Nanyang Avenue
Singapore, 639798
Singapore
65 790 6051 (Phone)
65 791 3697 (Fax)

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