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dc.contributor.authorUmutlu, M.en_US
dc.contributor.authorAltay-Salih, A.en_US
dc.contributor.authorAkdeniz, L.en_US
dc.date.accessioned2016-02-08T09:57:31Z
dc.date.available2016-02-08T09:57:31Z
dc.date.issued2010en_US
dc.identifier.issn0015-1920
dc.identifier.urihttp://hdl.handle.net/11693/22249
dc.description.abstractThis 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.en_US
dc.language.isoEnglishen_US
dc.source.titleFinance a Uver - Czech Journal of Economics and Financeen_US
dc.subjectADRen_US
dc.subjectCross-listingen_US
dc.subjectEgarchen_US
dc.subjectEmerging marketsen_US
dc.subjectReturn volatilityen_US
dc.titleDoes ADR listing affect the dynamics of volatility in emerging markets?en_US
dc.typeArticleen_US
dc.citation.spage122en_US
dc.citation.epage137en_US
dc.citation.volumeNumber60en_US
dc.citation.issueNumber2en_US
dc.publisherUniverzita Karlova v Prazeen_US


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