Essays on information environment of international financial markets.
详细信息
文摘
This dissertation investigates three empirical issues in international finance: the bonding hypothesis in cross-listing,the information role of extreme trading activity in global financial markets,and the effect of cross-listing on the information role of extreme trading activity. The first chapter examines the bonding hypothesis without the self-selection bias via the impact of the delisting of Level II and Level III ADRs American Depositary Receipts) on the home stock market. I find that both voluntary and involuntary delisting announcements result in a negative market) impact over a 31-day event window from the announcement date to 30 trading days after). However the negative impact is transitory for involuntary delisting but persistent for voluntary delisting. Further analysis on the bid/ask spread around the delisting shows that there is an increase in the adverse selection component of the spread,which greatly accounts for the variation in the abnormal returns on ADR delisting announcements. In summary,the study reveals that ADR delisting price effects are most consistent with a loss of legal and reputational bonding. The second chapter studies the information role of extreme trading activity as proxy by the high-volume premium in a global setting. Using a large sample of 24,110 individual stocks from 37 countries beyond the US,I find that positive high-volume premium is pervasive globally,although it is more pronounced for a smaller size company or from an emerging market. A detailed investigation shows that developing an external information environment,institutionally or physically,can weaken the information role of extreme trading activity. The third chapter examines the effect of cross-listing on the information role of abnormal trading volume. Using a panel of foreign firms that cross-list in the US,I find a significant decline in the slope coefficient in a regression of log absolute returns on abnormal trading volume for firms that cross-list as Level II/III ADRs,and especially so for firms from emerging markets. Further analysis shows that the attenuation stems from the added analyst coverage that increases the information channels to the market. On the other hand,foreign firms that cross-list on the OTC/144A market do not experience a significant decline in the slope coefficient,which is consistent with the fact that they are not subject to the stringent disclosure requirements found in the U.S. The result suggests that the slope coefficient of the stocks log absolute return on abnormal trading volume can be a useful tool for measuring the economic consequences of disclosure regime shift.