Global liquidity provision and risk sharing

Research output: Contribution to journalArticlepeer-review


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 languageEnglish
JournalJournal of Financial and Quantitative Analysis
Early online date1 Jul 2020
Publication statusE-pub ahead of print - 1 Jul 2020


  • foreign holdings
  • funding liquidity
  • difference-in-difference
  • market segmentation

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