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Volume Dynamics and Multimarket Trading
Articles and Chapters
  • Michael Halling, University of Utah
  • Pamela Moulton, Cornell University School of Hotel Administration
  • Marios Panayides, University of Pittsburgh
Publication Date
10-13-2011
Abstract
The trading of shares of the same firm in multiple markets has become common over the last thirty 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.
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Required Publisher Statement
© Cambridge University Press. Final version published as: Halling, M., Moulton, P. C, & Panayides, M. (2013). Volume dynamics and multimarket trading? Journal of Financial & Quantitative Analysis, 48(2), 489-518. Reprinted with permission. All rights reserved.

Citation Information

Halling, M., Moulton, P. C, & Panayides, M. (2011). Volume dynamics and multimarket trading? [Electronic version]. Retrieved [insert date], from Cornell University, School of Hospitality Administration site: http://scholarship.sha.cornell.edu/articles/8