Determinants of Liquidity (Re)Allocation and the Decision to Cross‐List or Cross‐Delist
研究了2001至2011年间影响本地与外国双重上市之间流动性分配的因素，发现股市一体化程度、经济发展水平和监管环境显著影响交易份额，且外国上市流动性份额随时间下降，主要受新兴市场驱动。
Abstract This paper examines the factors influencing the liquidity allocation between local and foreign dual listings. Based on a comprehensive data set covering the period between 2001 and 2011, empirical results suggest that the fraction of trading in the foreign listing decreases with a higher degree of stock market integration measured as the stock price correlation with the world market. Furthermore, the analysis of individual cross‐listings reveals that both an improvement of a country's state of economic development and a better regulatory environment significantly affect the allocation of trading. While an improvement in economic development increases both local and foreign liquidity, a strengthening of regulatory standards leads to a decrease in trading volumes at foreign exchanges. Finally, the liquidity share in the foreign listing is found to decrease over time, a trend that turns out to be driven by developing rather than by developed markets. Copyright © 2016 John Wiley & Sons, Ltd.