Browsing by Subject "Cross-listing"

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    Does ADR listing affect the dynamics of volatility in emerging markets?
    (Univerzita Karlova v Praze, 2010) Umutlu, M.; Altay-Salih, A.; Akdeniz, L.
    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.
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    ItemOpen Access
    Three essays on the behavior of French stocks cross-listed on the German stock markets
    (2002) Bayar, Aslı
    The behavior of French stocks that are cross-listed on the German stock markets is analyzed in this study. Using a sample of stocks that are listed both on the Paris Bourse and the Xetra, it is found that there is no change in the systematic risk for the domestic market (the Paris Bourse) and the foreign market (the Xetra) suggesting the integration of these markets for the overall sample. However, the findings with respect to the world market make the integration of the French stock markets with the world market questionable. Furthermore, the analysis of abnormal returns suggests that for some portfolios, such as the small- and medium-sized portfolios, the high book-to-market value ratio portfolio and the manufacturing, retailing and finance sectors, the markets may not be integrated. The second chapter analyzes the changes in the liquidity and price volatility of the French stocks that are cross-listed on the Xetra. It is found that liquidity declines and the volatility of the stock prices increases after cross-listing for many stocks in the sample. These findings are against the expectations, since an increase in liquidity and a decline in volatility are expected, if the markets are integrated. Finally, in the third chapter, price adjustment process between the two stock markets is examined by cointegration analysis. It is observed that between the French and the German stock markets there is a relationship and most of the time the stock prices on the German stock markets follow the stock prices on the French stock markets.