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      Does ADR listing affect the dynamics of volatility in emerging markets?

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      Author
      Umutlu, M.
      Altay-Salih, A.
      Akdeniz, L.
      Date
      2010
      Source Title
      Finance a Uver - Czech Journal of Economics and Finance
      Print ISSN
      0015-1920
      Publisher
      Univerzita Karlova v Praze
      Volume
      60
      Issue
      2
      Pages
      122 - 137
      Language
      English
      Type
      Article
      Item Usage Stats
      64
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      195
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      Abstract
      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 is modeled using conditional heteroscedasticity models. We find that firms' exposure to risks such as local and global market betas remain unchanged after cross-listing. Moreover, we do not identify notable changes in the dynamics of the volatility of cross-listed stocks after cross-listing except for leverage effects. We further show that the mean level of conditional variance is not affected after cross-listing. Thus, our results provide counter-evidence to the belief that foreign investor participation drives volatility upward.
      Keywords
      ADR
      Cross-listing
      Egarch
      Emerging markets
      Return volatility
      Permalink
      http://hdl.handle.net/11693/22249
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