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Cross-Listed Stocks: Conduit for Contagion across Borders

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Cross-Listed Stocks: Conduit for Contagion across Borders

Peloso, Jérémie (2015) Cross-Listed Stocks: Conduit for Contagion across Borders. Masters thesis, Concordia University.

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Abstract

In this paper, I examine the effects of the arrival of phony public information originating from the United-States on a sample of Canadian stocks listed both on the Toronto Stock Exchange (TSE) and on the major U.S. exchanges. I find that following the news announcement the stocks on both markets instantaneously experience a similar, highly correlated and significant log return surge along with a disruption in liquidity and a widening of the spread. Using control stocks for the sample of firms, my results suggest that the transmission mechanism is exacerbated by the presence of cross-listed stocks on the U.S. exchanges. Overall, this empirical work shows that cross-listed stocks can act as vectors for shocks, or at least strengthen the transmission mechanism of a shock from the home (foreign) market to the foreign (home) market. It also suggests that firms may have to take this potential pitfall into consideration when deciding to cross-list on a foreign exchange.

Divisions:Concordia University > John Molson School of Business > Finance
Item Type:Thesis (Masters)
Authors:Peloso, Jérémie
Institution:Concordia University
Degree Name:M. Sc.
Program:Business Administration (Finance specialization)
Date:16 April 2015
Thesis Supervisor(s):Ravi, Rahul
ID Code:979907
Deposited By: JEREMIE PELOSO
Deposited On:13 Jul 2015 16:33
Last Modified:18 Jan 2018 17:50
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