Cross‐Border Listings and Price Discovery: Evidence from U.S.‐Listed Canadian Stocks

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What Do Price Discovery Metrics Really Measure (2013, background): “…different stock exchanges or trading venues that have similar structure using cross-listed stocks (e.g., Hasbrouck, 1995; Huang, 2002; Harris et al., 2002; Eun and Sabherwal, 2003; Pascual et al., 2006; Frijns et al., 2010; Korczak and Phylaktis, 2010; Chen and Sub Choi, 2012; Chen et al., 2013).”
Multimarket Trading and Liquidity: Theory and Evidence (2007, background): “Our paper also provides a useful theoretical backdrop for the various new studies of price discovery in stocks with multi-market trading (Ding, Harris, McInish, and Lau, 2003; Eun and Sabherwal, 2003; Grammig, Melvin and Schlag, 2003).”
Internationalization and Stock Market Liquidity (2005, positive): “13 Eun and Sabherwal (2003) find that the higher the fraction of trading occurring in international financial centers, the higher is the contribution of these international markets to price discovery.”
The information content of an open limit‐order book (2009, positive): “(1995), Huang (2002), and Eun and Sabherwal (2003), who examine the information content of prices of the same security observed in different markets.”
Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects (2005, methodology): “13 8 An alternative method for inferring price discovery follows Gonzalo and Granger’s (1995) common factor approach.”