Does the US Cross‐Listing of a Non‐US Stock Influence the Impact of Economic Policy Uncertainty on Stock Liquidity?
FNU Pratima & Sanjiv Sabherwal
What the paper says
ABSTRACT We examine how US cross‑listing shapes the sensitivity of non‑US firms’ home‑market liquidity to economic policy uncertainty (EPU). Using a matched global panel of 1894 American Depositary Receipts (ADRs) and comparable non‐cross‑listed firms from 20 countries between 1997 and 2024, we separately identify the effects of home‑country EPU and US EPU on stock liquidity. We document a robust negative relation between home‑country EPU and home‑market liquidity, whereas the effect of US EPU is weaker and more context dependent. US cross‑listing exhibits asymmetric moderating effects: It attenuates the adverse impact of home‑country EPU but does not mitigate it, and, in weaker institutional environments, may intensify the transmission of US EPU through tighter cross‑market links. These patterns are strongest among firms from emerging, civil‑law, and weak‑governance countries, and among high‑tech firms. Our findings show that US cross‑listing buffers firms against domestic policy uncertainty simultaneously and increases exposure to US economic policy‑driven liquidity risk.
Evidence weight
Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40
| F · citation impact | 0.50 × 0.4 = 0.20 |
| M · momentum | 0.50 × 0.15 = 0.07 |
| V · venue signal | 0.50 × 0.05 = 0.03 |
| R · text relevance † | 0.50 × 0.4 = 0.20 |
† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.