Abstract
This article examines how liquidity provision and market quality differ for European cross- listed stocks on the NYSE when their home markets are open versus closed. We find that specialist activity and effective spreads are lower for European cross- listed stocks when their home markets are open, a time of day when specialist activity and effective spreads are higher for U.S. domestic stocks, although both types of stocks have higher trading volume and volatility when European exchanges are open. Our findings suggest that the availability of home - market substitutes significantly affects liquidity provisio n and improves market quality. Our results also provide a richer picture of specialists’ intraday activities and offer new evidence of market integration.
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