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Global Liquidity Provision and Risk Sharing
Journal of Financial and Quantitative Analysis ( IF 4.337 ) Pub Date : 2020-07-01 , DOI: 10.1017/s0022109020000502
Feng Jiao , Sergei Sarkissian

We examine liquidity-related characteristics of U.S. firms with cross-listed shares in 20 foreign markets in the 1950–2013 period. We find that firms after foreign-market listing exhibit lower liquidity sensitivity and lower liquidity beta and suffer less from transitory price shocks. These results are stronger when firms are listed on multiple exchanges and in larger and more liquid markets. The liquidity enhancement is associated with firms’ increased foreign ownership postlisting and is effective for firms with high levels of volatility, foreign income, and foreign trading and a high probability of informed trading. Our findings provide support for global markets providing liquidity and reducing liquidity risk to U.S. firms.

中文翻译:

全球流动性供应和风险分担

我们研究了 1950-2013 年期间在 20 个国外市场交叉上市的美国公司的流动性相关特征。我们发现,海外上市后的公司表现出较低的流动性敏感度和较低的流动性贝塔值,受短暂价格冲击的影响较小。当公司在多个交易所和更大、流动性更强的市场上市时,这些结果会更强。流动性增强与公司上市后外资所有权的增加有关,对波动性、外国收入和外国交易水平高且知情交易概率高的公司有效。我们的研究结果为全球市场提供流动性和降低美国公司流动性风险的支持。
更新日期:2020-07-01
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