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The degree of financial liberalization and aggregated stock-return volatility in emerging markets
In this study, we address whether the degree of financial liberalization affects the aggregated total volatility of stock returns by considering the time-varying nature of financial liberalization. We also explore channels ...
Does ADR listing affect the dynamics of volatility in emerging markets?
(Univerzita Karlova v Praze, 2010)
This paper analyzes the time-series variation in the return volatility of non-US stocks from emerging markets that are cross-listed on US exchanges. Unlike previous studies in the cross-listing literature, return volatility ...