This study analyzes the impact of cross-listing on the abnormal returns of a unique sample of 34 Israeli stocks that went public in the U.S. and then cross-listed in their home market, Tel Aviv Stock Exchange (TASE). The behavior of abnormal returns around cross-listing date implies that cross-listing in TASE is an effective mechanism in reducing market segmentation between the U.S. and the Israeli capital markets. Risk assessment following cross-listing suggests a decline in the risk exposure, which further supports a higher degree of integration between the two markets due to cross-listing.