TY - JOUR
T1 - Sources of liquidity for NYSE-listed non-US stocks
AU - Bacidore, Jeffrey M.
AU - Battalio, Robert
AU - Galpin, Neal
AU - Jennings, Robert
PY - 2005/12/1
Y1 - 2005/12/1
N2 - We examine the components of displayed (quoted) liquidity and the amount of non-displayed liquidity on the NYSE for a sample of non-US stocks. Consistently with prior work, non-US stocks have less displayed liquidity than similar US stocks. Extending prior research, we find that this is true both in the limit order book and on the floor. As Domowitz et al. [Domowitz, I., Glen, J., Madhavan, A., 1998. International cross-listing and order flow migration: Evidence from and emerging market. Journal of Finance 53, 2001-2027] posit, non-US stocks from transparent/linked home markets have more displayed NYSE liquidity when the home market is open but non-US stocks from opaque/non-linked home markets have more NYSE displayed liquidity when the home market is closed. Non-US and US stocks have similar supplies of non-displayed liquidity, consistent with the idea that the conditional nature of non-displayed liquidity allows NYSE traders to mitigate adverse selection problems inherent in trading non-US stocks. Our results imply that non-US stocks have less total (displayed plus non-displayed) liquidity than US stocks.
AB - We examine the components of displayed (quoted) liquidity and the amount of non-displayed liquidity on the NYSE for a sample of non-US stocks. Consistently with prior work, non-US stocks have less displayed liquidity than similar US stocks. Extending prior research, we find that this is true both in the limit order book and on the floor. As Domowitz et al. [Domowitz, I., Glen, J., Madhavan, A., 1998. International cross-listing and order flow migration: Evidence from and emerging market. Journal of Finance 53, 2001-2027] posit, non-US stocks from transparent/linked home markets have more displayed NYSE liquidity when the home market is open but non-US stocks from opaque/non-linked home markets have more NYSE displayed liquidity when the home market is closed. Non-US and US stocks have similar supplies of non-displayed liquidity, consistent with the idea that the conditional nature of non-displayed liquidity allows NYSE traders to mitigate adverse selection problems inherent in trading non-US stocks. Our results imply that non-US stocks have less total (displayed plus non-displayed) liquidity than US stocks.
KW - Bid-ask spreads
KW - Inter-market linkage
KW - Limit order book
KW - Liquidity
UR - http://www.scopus.com/inward/record.url?scp=28044445051&partnerID=8YFLogxK
U2 - 10.1016/j.jbankfin.2004.11.006
DO - 10.1016/j.jbankfin.2004.11.006
M3 - Article
AN - SCOPUS:28044445051
SN - 0378-4266
VL - 29
SP - 3075
EP - 3098
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
IS - 12
ER -