Investor protection and the liquidity of cross-listed securities: Evidence from the ADR market

Journal of Banking and Finance

Volumn 30, Issue 5, 2006, Pages 1485-1505

  Chung, Huimin ^a  

^a NATIONAL CHIAO TUNG UNIVERSITY   (Taiwan)

Author keywords

ADR; Asymmetric information costs; Financial crises; Investor protection; Liquidity

Indexed keywords

EID: 33645931368     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.03.021     Document Type: Article

References (37)

1. Ayyagari, M., 2004. Does cross-listing lead to functional convergence? Empirical evidence. Working Paper. University of Maryland.
2. Bacidore J.M., and Sofianos G. Liquidity provision and specialist trading in NYSE-listed non-US Stocks. Journal of Financial Economics 63 (2002) 133-158
3. Bailey W., Chan K., and Chung Y.P. Depository receipts, country funds and the peso crash: The intra-day evidence. Journal of Finance 55 (2000) 2693-2717
4. Beck T., Demirguc-Kunt A., and Levine R. Law and finance: Why does legal origin matter?. Journal of Comparative Economics 31 (2003) 653-675
5. Brockman P., and Chung D. An analysis of depth behavior in an electronic, order driven environment. Journal of Banking and Finance 23 (1999) 1861-1886
6. Brockman P., and Chung D. Investor protection and firm liquidity. Journal of Finance 58 (2003) 921-937
7. Buse A. Goodness of fit in generalized least squares estimation. American Statistician 27 (1973) 106-108
8. Chordia T., Roll R., and Subrahmanyam A. Order imbalance, liquidity and market returns. Journal of Financial Economics 65 (2002) 111-130
9. Clarke, J., Shastri, K., 2001. On the market microstructure of American depository receipts. Working Paper, University of Pittsburgh.
10. Coffee J. The future as history: The prospects for global convergence in corporate governance and its implications. Northwestern University Law Review 93 (1999) 641-708
11. Demsetz H. The costs of transacting. Quarterly Journal of Economics 82 (1968) 33-58
12. Denis D.K., and McConnell J.J. International corporate governance. Journal of Financial and Quantitative Analysis 38 (2003) 1-38
13. Doidge C., Karolyi G.A., and Stulz R.M. Why are foreign firms listed in the US worth more?. Journal of Financial Economics 71 (2004) 205-238
14. Durnev A., and Kim E.H. To steal or not to steal: Firm characteristics, legal environment and valuation. Journal of Finance 60 (2005) 1461-1493
15. George T.J., Kaul G., and Nimalendran M. Estimation of the bid-ask spread and its components: A new approach. Review of Financial Studies 4 (1991) 623-656
16. Huang R.D., and Stoll H.R. Market microstructure and stock return predictions. Review of Financial Studies 7 (1994) 179-213
17. Huang R.D., and Stoll H.R. Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE. Journal of Financial Economics 41 (1996) 313-357
18. Johnson S., Boone P., Breach A., and Friedman E. Corporate governance in the Asian financial crisis. Journal of Financial Economics 58 (2000) 141-186
19. Kaminsky G.L., and Schmukler S.L. What triggers market jitters. A chronicle of the Asian crisis. Journal of International Money and Finance 18 (1999) 537-560
20. Kodres L.E., and Pritsker M. A rational expectations model of financial contagion. Journal of Finance 57 (2002) 769-799
21. La Porta R., Lopez-de-Silanes F., Shleifer A., and Vishny R. Law and finance. Journal of Political Economy 106 (1998) 1113-1155
22. Lee C.M.C., and Ready M.J. Inferring trade direction from intra-day data. Journal of Finance 46 (1991) 733-746
23. Lee C.M.C., Mucklow B., and Ready M.J. Spreads, depths and the impact of earnings information: An intraday analysis. Review of Financial Studies 6 (1993) 345-374
24. Levine, R., Schmukler, S.L., 2005. Internationalization and the evolution of corporate valuation. NBER Working Paper No. 11023.
25. Licht A.N. Cross-listing and corporate governance: Bonding or avoiding?. Chicago Journal of International Law 4 (2003) 141-163
26. Lin J.-C., Sanger G.C., and Booth G.G. Trade size and the components of the bid-ask spread. Review of Financial Studies 8 (1995) 1153-1183
27. Mitton T. A cross-firm analysis of the impact of corporate governance on the East Asian financial crisis. Journal of Financial Economics 64 (2002) 215-241
28. Pineger, J.M., Ravichandran, R., 2004. When does bonding bond: The cases of ADRs and GDRs. Working Paper, Brigham Young University.
29. Reese Jr. W.A., and Weisbach M.S. Protection of minority shareholder interests, cross-listing in the United States and subsequent equity offering. Journal of Financial Economics 66 (2002) 65-104
30. Siegel J. Can foreign firms bond themselves effectively by renting US securities laws?. Journal of Financial Economics 75 2 (2005) 319-359
31. Stoll H.R. The supply of dealer services in securities markets. Journal of Finance 33 (1978) 1133-1151
32. Stoll H.R. Friction. Journal of Finance 55 (2000) 1479-1514
33. Stoll H.R. Market microstructure. In: Constantinides G.M., Harris M., and Stulz R. (Eds). Handbook of the Economics of Finance (2003), North-Holland, Amsterdam
34. Stulz R.M. Globalization, corporate finance and the cost of capital. Journal of Applied Corporate Finance 12 (1999) 8-25
35. Van Ness B.F., Van Ness R.A., and Warr R.S. How well do adverse selection components measure adverse selection?. Financial Management 30 (2001) 77-98
36. Weston J. Competition on the NASDAQ and the impact of recent market reforms. Journal of Finance 55 (2000) 2565-2598
37. White H. A heteroskedasticity-consistent covariance matrix estimator and direct test for heteroskedasticity. Econometrica 48 (1980) 817-838