Cross‐Border Listings and Price Discovery: Evidence from U.S.‐Listed Canadian Stocks
研究加拿大公司在多伦多和美国两地上市时，价格发现如何在不同市场间分配，发现美国市场平均贡献38.1%的价格发现，且与交易份额和知情交易比例正相关，与买卖价差比负相关。
ABSTRACT We examine the contribution of cross‐listings to price discovery for a sample of Canadian stocks listed on both the Toronto Stock Exchange (TSE) and a U.S. exchange. We find that prices on the TSE and U.S. exchange are cointegrated and mutually adjusting. The U.S. share of price discovery ranges from 0.2 percent to 98.2 percent, with an average of 38.1 percent. The U.S. share is directly related to the U.S. share of trading and to the ratio of proportions of informative trades on the U.S. exchange and the TSE, and inversely related to the ratio of bid‐ask spreads.