Does the US Cross‐Listing of a Non‐US Stock Influence the Impact of Economic Policy Uncertainty on Stock Liquidity?
研究了非美国公司在美国交叉上市后，其本国市场流动性对本国和美国经济政策不确定性的敏感度变化，发现交叉上市能缓冲本国政策冲击但可能增加对美国风险的暴露。
ABSTRACT We examine how US cross‑listing shapes the sensitivity of non‑US firms’ home‑market liquidity to economic policy uncertainty (EPU). Using a matched global panel of 1894 American Depositary Receipts (ADRs) and comparable non‐cross‑listed firms from 20 countries between 1997 and 2024, we separately identify the effects of home‑country EPU and US EPU on stock liquidity. We document a robust negative relation between home‑country EPU and home‑market liquidity, whereas the effect of US EPU is weaker and more context dependent. US cross‑listing exhibits asymmetric moderating effects: It attenuates the adverse impact of home‑country EPU but does not mitigate it, and, in weaker institutional environments, may intensify the transmission of US EPU through tighter cross‑market links. These patterns are strongest among firms from emerging, civil‑law, and weak‑governance countries, and among high‑tech firms. Our findings show that US cross‑listing buffers firms against domestic policy uncertainty simultaneously and increases exposure to US economic policy‑driven liquidity risk.