WHERE DO INFORMED TRADERS TRADE CANADIAN SHARES CROSS-LISTED ON U.S. TRADING VENUES?

@inproceedings{Kryzanowski2005WHEREDI,
  title={WHERE DO INFORMED TRADERS TRADE CANADIAN SHARES CROSS-LISTED ON U.S. TRADING VENUES?},
  author={Lawrence Kryzanowski and Skander Lazrak and Ned Goodman and John W. Molson},
  year={2005}
}
Based on various theoretical models, the stylized prediction is that the dominant market in terms of trade activity for cross-listed firms will attract all trades. Examining trading and trade behavior for earnings (non)announcement periods for Canadian firms that are cross-listed on the TSX and the main U.S. trade venues shows that the stylized prediction does not hold empirically. Time-varying versions of the Easley et al model for estimating the probability of informed trading (PIN) and a… CONTINUE READING