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Investor Information Processing and Trading Volume
Author(s) -
Ferguson Nicky J.
Publication year - 2015
Publication title -
asia‐pacific journal of financial studies
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.375
H-Index - 15
eISSN - 2041-6156
pISSN - 2041-9945
DOI - 10.1111/ajfs.12091
Subject(s) - business , electronic trading , stock exchange , sample (material) , information processing , visibility , stock market , stock (firearms) , financial economics , monetary economics , finance , economics , geography , chemistry , context (archaeology) , archaeology , chromatography , neuroscience , meteorology , biology
Abstract Examining the impact on New York Stock Exchange trading volume using a sample of global cross‐listed firms and distinct information sources from the United States and primary market countries, I show that investor utilization of information varies significantly with language, distance‐to‐source and visibility. Specifically, for firms with greater information processing frictions, such as those in non‐English speaking countries located a greater distance from the trading venue and with higher information asymmetries, investors rely on news from the firms' home market when making their trading decisions rather than United States news, whereas those with fewer information processing frictions utilize both sources of news.