The U.S. Share of Trading Volume in Cross-Listings: Evidence from Canadian Stocks

I analyze the firm-specific determinants of the U.S. share of trading volume for 126 U.S. listed Canadian firms. I find that the U.S. share of volume is directly related to the mass of informed and liquidity traders in the United States relative to Canada, as proxied by relative analyst following, relative duration of listing, and the U.S. share of sales. Evidence also supports the market liquidity argument that the market with lower spreads and greater depths has greater volume. Finally, the U.S. share is directly related to the relative sensitivity of the stock's value to information in the United States.