Multimarket Trading and Liquidity: Theory and Evidence
构建了一个多市场交易模型，解释国际交叉上市股票在外国交易所的交易量差异，发现股票收益与当地市场其他资产收益的相关性越高，该交易所的交易量占比越大，并用251只非美国股票的数据验证了该预测。
ABSTRACT We develop a new model of multimarket trading to explain the differences in the foreign share of trading volume of internationally cross‐listed stocks. The model predicts that the trading volume of a cross‐listed stock is proportionally higher on the exchange in which the cross‐listed asset returns have greater correlation with returns of other assets traded on that market. We find robust empirical support for this prediction using stock return and volume data on 251 non‐U.S. stocks cross‐listed on major U.S. exchanges.