Information Transmission between Dual Listed Stocks with Non-Overlapping Trading Hours

This paper examines the information transmission between stocks and their corresponding deposit receipts (DRs) by collecting samples with good reputations and high liquidity in both markets. Using eight years of daily panel data from six cross-listed Taiwanese firms, our results show the feedback causality between the domestic and U.S. markets and illustrates bi-directional information transmission across markets. This is opposite to previous Taiwanese cases, which did not control for the impact of reputation and liquidity. In other words, reputation and liquidity are important factors that direct the information flow for Taiwanese cross-listed stocks.