A Market Microstructure Perspective on the Price Formation of Cross-Listed

Over the past two decades, globalization in capital markets has led to the growth of equity listings in more than one market. Such growth has heightened the levels of competition among stock exchanges, especially in terms of attracting more foreign listings and the associated business opportunities. Hence, \u85 nding ways to achieve a competitive advantage over other markets is becoming more crucial for exchanges. This has emphasized the need to understand how prices are formed in multiple markets. In that respect, this thesis intends to add to the understanding of the price formation process for stocks with foreign listings through three empirical studies. In terms of application, this thesis focuses on Canadian stocks which are listed on the Toronto Stock Exchange (TSX) and cross-listed on the New York Stock Exchange (NYSE). The rst essay contributes to our understanding of the impact of news arrival on price discovery. It employs macroeconomic news announcements as proxies for new information and examines the impact of these announcements on price discover