Sources of liquidity for NYSE-listed non-US stocks Jeffrey M. Bacidore a , Robert Battalio b , Neal Galpin c , Robert Jennings c, * a Goldman Sachs & Co., One New York Plaza, New York, NY 10004, USA b Department of Finance, Mendoza College of Business Administration, University of Notre Dame, Notre Dame, IN 46556, USA c Department of Finance, Kelley School of Business, Indiana University, 1309 E. Tenth Street, Bloomington, IN 47401, USA Received 30 March 2004; accepted 25 November 2004 Available online 11 January 2005 Abstract We examine the components of displayed (quoted) liquidity and the amount of non-dis- played liquidity on the NYSE for a sample of non-US stocks. Consistently with prior work, non-US stocks have less displayed liquidity than similar US stocks. Extending prior research, we find that this is true both in the limit order book and on the floor. As Domowitz et al. [Domowitz, I., Glen, J., Madhavan, A., 1998. International cross-listing and order flow migra- tion: Evidence from and emerging market. Journal of Finance 53, 2001–2027] posit, non-US stocks from transparent/linked home markets have more displayed NYSE liquidity when the home market is open but non-US stocks from opaque/non-linked home markets have more NYSE displayed liquidity when the home market is closed. Non-US and US stocks have simi- lar supplies of non-displayed liquidity, consistent with the idea that the conditional nature of non-displayed liquidity allows NYSE traders to mitigate adverse selection problems inherent in trading non-US stocks. Our results imply that non-US stocks have less total (displayed plus non-displayed) liquidity than US stocks. Ó 2004 Elsevier B.V. All rights reserved. 0378-4266/$ - see front matter Ó 2004 Elsevier B.V. All rights reserved. doi:10.1016/j.jbankfin.2004.11.006 * Corresponding author. Tel.: +1 812 855 2696; fax: +1 812 855 5875. E-mail address: jennings@indiana.edu (R. Jennings). Journal of Banking & Finance 29 (2005) 3075–3098 www.elsevier.com/locate/jbf