Working Paper: CEPR ID: DP4987
Authors: Michael Halling; Marco Pagano; Otto Randl; Josef Zechner
Abstract: We investigate the distribution of trading volume across different venues after a company lists abroad. In most cases, after an initial blip, foreign trading declines rapidly to extremely low levels. However, there is considerable cross-sectional variation in the persistence and magnitude of foreign trading. The ratio between foreign and domestic trading volume is higher for smaller, more export and high-tech oriented companies. It is also higher for companies that cross-list on markets with lower trading costs and better insider trading protection. Foreign trading is high close to the cross-listing date but decreases dramatically in the subsequent six months. This accords with the ?flow-back hypothesis? that declining foreign trading is associated with the gravitational pull of the home market.
Keywords: crosslisting; flowback; trading volume
JEL Codes: G15; G30
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| cross-listing (G15) | foreign trading volume (F10) |
| cross-listing (G15) | flowback (Y60) |
| foreign trading volume (F10) | domestic trading volume (F10) |
| company characteristics (L20) | foreign trading volume (F10) |
| institutional investors (G23) | foreign trading volume (F10) |
| capital raised abroad (F21) | foreign trading volume (F10) |