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US cross-listing and domestic high-frequency trading : evidence from Canadian stocks

Dodd, Olga; Frijns, Bart; Indriawan, Ivan; Pascual, Roberto - In: Journal of empirical finance 72 (2023), pp. 301-320

Persistent link: https://www.econbiz.de/10014476858

Realized volatility, jump and beta : evidence from Canadian stock market

Gajurel, Dinesh; Chowdhury, Biplob - 2020

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Estimating the gains from trade in limit order markets

Hollifield, Burton; Miller, Robert Allen; Sandås, Patrik; … - 2004

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The stock price-volume linkage on the Toronto Stock Exchange : before and after automation

Ciner, Cetin - In: Review of quantitative finance and accounting 19 (2002) 4, pp. 335-349

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Theoretical and practical aspects of algorithmic trading

Fränkle, Jan - 2010

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Market impact measurement of a VWAP trading algorithm

Fraenkle, Jan; Račev, Svetlozar T.; Scherrer, Christian - In: Journal of risk management in financial institutions 4 (2010/11) 3, pp. 254-274

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Estimating the gains from trade in limit-order markets

Hollfield, Burton; Miller, Robert Allen; Sandås, Patrik; … - In: The journal of finance : the journal of the American … 61 (2006) 6, pp. 2753-2804

Persistent link: https://www.econbiz.de/10003398501

Estimating the gains from trade in limit order markets

Hollifield, Burton; Miller, Robert Allen; Sandås, Patrik; … - 2004 - rev

Persistent link: https://www.econbiz.de/10003229578

US Cross-Listing and Domestic High-Frequency Trading : Evidence from Canadian Stocks

Dodd, Olga; Frijns, Bart; Indriawan, Ivan; Pascual, Roberto - 2021

We find that US cross-listing of Canadian stocks enhances domestic high-frequency trading (HFT) activity in the form of both opportunistic trading and market-making. First, US cross-listing boosts HFT low-latency cross-border arbitrage. This highly correlated HFT arbitrage activity across...

Persistent link: https://www.econbiz.de/10013232823

The Interactions between Price Discovery, Liquidity and Algorithmic Trading for US-Canadian Cross-Listed Shares

Frijns, Bart - 2017

We analyze price discovery dynamics for Canadian companies cross-listed on the NYSE from January 2004 to January 2011. We employ a structural vector autoregression to assess the interactions between price discovery, liquidity and algorithmic trading activity. We observe that over time, the U.S....

Persistent link: https://www.econbiz.de/10012970544