Volume Dynamics and Multimarket Trading
研究了投资者在多个市场交易同一公司股票的程度，发现市场设计相似、内幕交易执法严格以及机构持股高的公司，多市场交易更活跃，对评估跨境上市收益和市场订单流竞争有参考价值。
Abstract The trading of shares of the same firm in multiple markets has become common over the last 30 years, but there is little empirical evidence on the extent to which investors actively exploit multimarket environments. We introduce a volume-based measure of multimarket trading to address this question. Analyzing a large set of cross-listed firms, we find higher multimarket trading among markets with similar designs and strong enforcement of insider trading laws and for firms with higher institutional ownership. These findings are important for firms evaluating the benefits of cross listing and for markets competing for order flow.