A Study Of Cross-listings Motivation Based On "Information Channel" Theory

This article firstly makes an improvement of Roll’s stock price non-synchronicity measuremodel by adding lagged factors of the market information and industry information. Then weempirically analyze the relationship between cross-listings and corporation value in terms ofstock price informativeness, which based on unbalanced panel data of2078companies ofShenzhen Stock Market and Shanghai Stock Market from2002to2013. The results show that:（1）Cross-listings can notably increase stock price informativeness.（2）The sensitivity ofcorporation value to stock price informativeness can be reduced because of cross-listings.（3）Overall, cross-listings can still improve the corporation value by increasing stock priceinformativeness. These conclusions show that the “Information Channel” mechanism also existsin China Capital Markets and conducts the cross-listing behaviors, the motivation of which isbased on the corporation development rather than “Money Encirclement”.