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Information-based trade in Russia and the effects of listing abroad

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Abstract

This paper offers empirical evidence about transaction cost in Russia. After relating empirical measures of information and liquidity to corporate characteristics, competitive theories about cross-listings are tested. Since cross-listings generate competitive effects on transaction costs, potential to affect price discovery exists. The results reveal a lower share of private information for cross-listed firms since more transparent accounting standards reduce the incentives to collect superior information. Robustness for the evidence presented in favor of the legal bonding hypothesis is provided by those firms which list with the highest Russian standards. Measures of information-based trade are lower and the likelihood of listing abroad is significantly higher.

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Notes

  1. It is only applied in Grishchenko et al. (2002).

  2. See Easley and O’Hara (1992, 2004) and Easley et al. (1996a, b, 1997a, b, 1998, 2002, 2005).

  3. Damodaran (1985) defines “three dimensions of the information structure—the frequency and accuracy of, and the bias in information releases.” For the ease of mathematical tractability and in line with the whole market microstructure literature, this paper does not follow this more elaborate idea of information asymmetry.

  4. It is only applied in Grishchenko et al. (2002).

  5. See Llorente et al. (2002), abstract, and Campbell et al. (1993).

  6. E.g. van Oppens (2004), Venter and de Jongh (2004), or Brown et al. (2006).

  7. http://www.rts.ru/en/archive/securityresults.html.

  8. Russian Trading System Stock Exchange, OJSC Russian Trading System Stock Exchange, RTS Clearing Center, RTS Settlement Chamber and St.Petersburg Stock Exchange.

  9. For more information, please see Table 10 and http://www.rts.ru/s718.

  10. The industries used for the presentation in the table are RTS Consumer and Retail, RTS Electric Utilities, RTS Financials, RTS Industrial, RTS Metals and Mining, RTS Oil and Gas, and RTS Telecom.

  11. See Appendix for a tabulation of accounting standards in the different industries.

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Authors and Affiliations

  1. Institute for Research in Economic Evolution, University of Freiburg, Platz der Alten Synagoge (KGII), 79085, Freiburg, Germany

    Marco Wölfle

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  1. Marco Wölfle
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Correspondence to Marco Wölfle.

Appendix

Appendix

See Tables 10, 11, 12, and 13.

Table 10 Listing standards at the Russian Trading System (RTS)
Full size table
Table 11 Listing standards: different industries
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Table 12 Cross-listing effects on the measures (regressions(robustness))
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Table 13 Overview: Ticker symbol, ISIN, and Names
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Wölfle, M. Information-based trade in Russia and the effects of listing abroad. Econ Change Restruct 42, 229–262 (2009). https://doi.org/10.1007/s10644-009-9069-5

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