U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration

This article analyzes intraday patterns for U.K. and U.S. trading of British cross-listed stocks. For each market, the intraday patterns for these stocks closely resemble those of otherwise sim-ilar, non-cross-listed stocks. There is a 2-hour period each day when cross-listed stocks are traded both in New York and in London. This overlap is characterized by concentrated trad-ing as private information, originating in New York,gets incorporated into prices in both mar-kets. Cross-border competition for orderflow tends to reduce already declining spreads in Lon-don. By contrast, New York specialists maintain Data for this project from the U.K. were kindly provided by Stephen Wells of the Quality of Markets Group at the London Stock Exchange. Help-ful discussions with Stephen Wells and his colleague Graham Hart pro-vided valuable insights into the functioning of the London Stock Exchange