IDEAS home Printed from https://ideas.repec.org/a/bla/irvfin/v19y2019i3p575-612.html
   My bibliography  Save this article

Market Quality around Macroeconomic News Announcements: Evidence from the US and Canadian Markets

Author

Listed:
  • Bart Frijns
  • Ivan Indriawan
  • Alireza Tourani‐Rad
  • Yiuman Tse

Abstract

We investigate changes in market quality in the US and Canada during macroeconomic news announcements. We measure market quality in terms of returns dependence, the cost of trading, and pricing errors. Using a sample of cross‐listed stocks and macroeconomic news from both countries, we document that market quality is generally higher in the US than in Canada. The pattern of intraday serial dependence in returns reveals that it takes investors about 5 min less to react to order imbalances in the US than in Canada. We further observe that, around announcement periods, transaction costs increase more in Canada than in the US, suggesting that the US market offers better liquidity. More information is also incorporated into the US market. These results support the view that the US is a prime target for cross‐listing, and are robust to different types of assets and time specifications.

Suggested Citation

  • Bart Frijns & Ivan Indriawan & Alireza Tourani‐Rad & Yiuman Tse, 2019. "Market Quality around Macroeconomic News Announcements: Evidence from the US and Canadian Markets," International Review of Finance, International Review of Finance Ltd., vol. 19(3), pages 575-612, September.
    • Handle: RePEc:bla:irvfin:v:19:y:2019:i:3:p:575-612
    DOI: 10.1111/irfi.12190
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/irfi.12190
    Download Restriction: no
    File URL: https://libkey.io/10.1111/irfi.12190?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:irvfin:v:19:y:2019:i:3:p:575-612. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=1369-412X .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.