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ABSTRACT Previous results show relatively small amounts of time variation in the Hasbrouck (1995) information share across international markets. Using data from a security that was cross-listed on the New York and London Stock Exchanges in the 1860s, we find that the information share changes dramatically during a financial crisis that began in the foreign market. [ABSTRACT FROM AUTHOR]

Using a large cross section of intraday data from 25 developed countries, we study commonality in liquidity, both within and across international equity markets, over 15-minute intervals. Within-country and cross-border liquidity commonalities are found to be significant and, after controlling for country and industry effects, relate to such firm-specific measures as size, bid–ask spread, and the extent of analyst coverage. Additionally, within-country liquidity commonality is lower for firms with depository receipts cross listed in New York or London. Cross-border liquidity commonality is particularly high for firms with relatively high actual ownership by foreign institutions. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:630–652, 2009 [ABSTRACT FROM AUTHOR]