Social trust and the liquidity of cross-listed securities

被引：21

作者：

Blau, Benjamin M. ^{[1
]}

机构：

[1] Utah State Univ, Jon M Huntsman Sch Business, 3565 Old Main Hilt, Logan, UT 84322 USA

来源：

JOURNAL OF BUSINESS RESEARCH | 2017年 / 78卷

关键词：

Trust; Social capital; American depositary receipts; Cross-listing; Liquidity spreads; TRADE EXECUTION COSTS; MARKET QUALITY; STOCK MARKETS; ASK; COMPONENTS; NASDAQ; SPREADS; GROWTH; NYSE;

D O I：

10.1016/j.jbusres.2017.05.009

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper examines various measures of market liquidity in American Depositary Receipts (ADRs) while conditioning on the level of trust in the ADR's home country. Multivariate tests show that as home-country levels of trust increase, ADR liquidity is dramatically improved. To draw stronger causal inferences, we use a difference-in-difference approach to examine liquidity surrounding an (arguably) exogenous reduction in trust and find that liquidity worsens in response to the event. These results support our hypothesis that trust is an important determinant in the liquidity of financial markets.

引用

页码：155 / 171

页数：17

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