U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration

This paper analyzes intrady patterns for U.K. and U.S. trading of British cross-listed stocks. For each market, the intrady patterns for these stocks closely resemble those of otherwise similar, non-cross-listed stocks. There is a two-hour period each day when cross-listed stocks are traded both in New York and in London. This overlap is characterized by concentrated trading as private information, orginating in New York, gets incorporated into prices in both markets. Cross-border competition for orderflow tends to reduce already declining spreads in London. By contrast, New York specialists maintain high spreads during the overlap. Overall, the evidence indicates that orderflow for cross-listed securities is segmented.