Global liquidity provision and risk sharing

Sergei Sarkissian; Feng Jiao

doi:10.1017/S0022109020000502

Global liquidity provision and risk sharing

Research output: Contribution to journal › Article › peer-review

Abstract

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, lower liquidity beta, and suffer less from transitory price shocks. These results are stronger when firms are listed on multiple exchanges, in larger and more liquid markets. The liquidity enhancement is associated with firms’ increased foreign ownership post listing and is effective for firms with high levels of volatility, foreign income, foreign trading,and PIN. Our findings provide support for global markets providing liquidity and reducing liquidity risk to U.S. firms.

Original language	English
Journal	Journal of Financial and Quantitative Analysis
Early online date	1 Jul 2020
DOIs	https://doi.org/10.1017/S0022109020000502
Publication status	E-pub ahead of print - 1 Jul 2020

Keywords

foreign holdings
funding liquidity
difference-in-difference
market segmentation

Access to Document

10.1017/S0022109020000502

SarkissianJiaoJFQA2020GlobalLiquidityProvision
This article has been published in a revised form in Journal of Financial and Quantitative Analysis https://doi.org/10.1017/S0022109020000502. This version is published under a Creative Commons CC-BY-NC-ND. No commercial re-distribution or re-use allowed. Derivative works cannot be distributed. © Cambridge University Press.
Accepted author manuscript, 435 KBLicence: Creative Commons: Attribution-NonCommercial-NoDerivatives (CC BY-NC-ND)

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Sergei Sarkissian
- Business School - Professorial Fellow (0.2FTE)
- Accounting and Finance
Person: Academic: Research Active

Cite this

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