U.K. and U.S. trading of British cross-listed stocks: an intraday analysis of market integration |
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Authors: | Werner IM; Kleidon AW |
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Institution: | Correspondence to: IM Werner, Graduate School of Business, Stanford University, Stanford, CA 94305-5015, USA |
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Abstract: | This article analyzes intraday patterns for U.K. and U.S. tradingof British cross-listed stocks. For each market, the intradaypatterns for these stocks closely resemble those of otherwisesimilar, non-cross listed stocks. There is a 2-hour period eachday when cross-listed stocks are traded both in New York andin London. This overlap is characterized by concentrated tradingas private information, originating in New York, gets incorporatedinto prices in both markets. Cross-border competition for orderflowtends to reduce already declining spreads in London. By contrast,New York specialists maintain |
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