Cross-listing and Trading on the Domestic Market: Evidence from Canada-US Partial Holidays

This study uses intraday data to analyze security trading during partial holidays. The objectives include understanding the trading environment during such holidays and learning whether cross-listing Canadian securities on the New York Stock Exchange (NYSE) affects liquidity, the information environment, and trading volume on the domestic market. We find that the bid-ask spread increases significantly during Canadian or United States (US) partial holidays. Informed trading, average transaction size, and trading volume on the Toronto Stock Exchange (TSX) drop during US partial holidays, while the changes on the NYSE during Canadian partial holidays are insignificant. This result suggests that during US partial holidays the ratio of institutional-to-retail trading on the TSX decreases. Copyright (c) 2008 The Authors Journal compilation (c) 2008 Blackwell Publishing Ltd.