| Summary: | 博士 === 國立中正大學 === 財務金融所 === 94 === This study investigates the effect of international cross-listing on intraday return volatility and volume for individual firms. A flattened U-shape pattern due to cross-listing is considered as evidence of more efficient information transmission and better market integration. Our empirical findings indicate that cross-listing has indeed resulted in a flattened U-shape pattern of return volatility and volume, yet such flattening exhibits a time-varying trend. Furthermore, we document that the time-varying feature of information flow and market integration can be explained by the gradual lifting of both the investment barriers and home bias of investors. Finally, this study finds an asymmetric impact of cross-listing on intraday volatility and volume U-shape patterns, which is consistent with the information-base hypothesis.
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