Global Liquidity Provision and Risk Sharing

Feng Jiao and Sergei Sarkissian

We examine liquidity-related characteristics of U.S. firms with cross-listed shares in 20 foreign markets in the 1950–2013 period. We find that firms after foreign market listing exhibit lower liquidity sensitivity, lower liquidity beta, and suffer less from transitory price shocks. These results are stronger when firms are listed on multiple exchanges, in larger and more liquid markets. The liquidity enhancement is associated with firms’ increased foreign ownership post-listing and is effective for firms with high levels of volatility, foreign income, foreign trading, and PIN. Our findings provide support for global markets providing liquidity and reducing liquidity risk to U.S. firms.

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