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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Show simple item record Lin, B Michayluk, D Oppenheimer, H Sabherwal, S 2010-05-28T09:54:57Z 2009-01
dc.identifier.citation International Review of Financial Analysis, 2009, 18 (5), pp. 223 - 231
dc.identifier.issn 1057-5219
dc.identifier.other C1 en_US
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.
dc.publisher Elsevier
dc.relation.isbasedon 10.1016/j.irfa.2009.07.002
dc.title French and U.S. trading of cross-listed stocks around the period of U.S. decimalization: Volume, spreads, and depth effects
dc.type Journal Article
dc.parent International Review of Financial Analysis
dc.journal.volume 5
dc.journal.volume 18
dc.journal.number 5 en_US
dc.publocation US en_US
dc.identifier.startpage 223 en_US
dc.identifier.endpage 231 en_US BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1502 Banking, Finance and Investment
dc.personcode 995682
dc.percentage 100 en_US Banking, Finance and Investment en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US en_US
dc.location.activity en_US
dc.description.keywords Cross-listed stocks; Decimalization; Institutions; Liquidity; Trading volume en_US
dc.description.keywords Cross-listed stocks
dc.description.keywords Decimalization
dc.description.keywords Institutions
dc.description.keywords Liquidity
dc.description.keywords Trading volume
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Finance
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access 2015-04-15 12:17:09.805752+10
utslib.collection.history Finance (ID: 371)
utslib.collection.history Closed (ID: 3)

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