When a firm commit to a more stringent disclosure regime, market maker relies more on disclosure itself and less on the alternative information source, such as abnormal trading volume. Using a panel of foreign firms that cross-list in US, I find significant deduction in the slope coefficient in a regression of log absolute returns on abnormal trading volume for firms that cross-list as Level II/III ADR, especially for firms from emerging markets. On the other hand, foreign firms that cross-list on OTC/144A market does not experience significant deduction in the slope coefficient, which is consistent with the fact that they are not subject to the stringent disclosure requirement in U.S. The result holds even after I control for the impact of market liquidity, analyst coverage, ownership structure and the endogeneity of the cross-listing decision. The result suggests that the slope coefficient of the stock's log absolute return on abnormal trading volume can be a useful tool for measuring the economic consequences of disclosure regime shift.