Investor Information Processing and Trading Volume

摘要

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.