Cross-listing, volatility and liquidity: Evidence from U.S.-listed Chinese stocks

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School of Business | Bachelor's thesis
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Date

2024

Department

Rahoituksen laitos

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Mcode

Degree programme

Rahoitus

Language

en

Pages

27 + 1

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Abstract

This study examines the effect of cross-listing on stock volatility and liquidity following the methodologies of Domowitz et al. (1998) and Bayar & Önder (2005). Using data from 31 U.S.-listed Chinese companies that dual-listed on the Hong Kong Stock Exchange between 2018 and 2024, I find significant evidence that cross-listing reduces stock price volatility in the U.S. market. This finding remains significant when controlling for market volatility. Furthermore, the findings indicate that cross-listing reduces liquidity in the U.S. market. However, after controlling for market volatility, no significant changes in liquidity are observed. This suggests that trading behavior in the U.S. market remains relatively stable following cross-listing to the home market.

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Thesis advisor

Kokkonen, Joni

Keywords

cross-listing, volatility, liquidity, U.S. market, HKEX

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https://urn.fi/URN:NBN:fi:aalto-202501261767

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[kand] Kauppakorkeakoulu / BIZ (Open Access)