Three essays on the behavior of French stocks cross-listed on the German stock markets

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buir.advisorÖnder, Zeynep
dc.contributor.authorBayar, Aslı
dc.date.accessioned2016-01-08T18:17:19Z
dc.date.available2016-01-08T18:17:19Z
dc.date.issued2002
dc.departmentDepartment of Managementen_US
dc.descriptionAnkara : The Department of Business Administration, Bilkent University, 2002.en_US
dc.descriptionThesis (Ph.D.) -- Bilkent University, 2002.en_US
dc.descriptionIncludes bibliographical references leaves 181-186.en_US
dc.description.abstractThe 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.en_US
dc.description.degreePh.D.en_US
dc.description.statementofresponsibilityBayar, Aslıen_US
dc.format.extentxiii, 186 leaves, tablesen_US
dc.identifier.urihttp://hdl.handle.net/11693/15352
dc.language.isoEnglishen_US
dc.publisherBilkent Universityen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectCross-listingen_US
dc.subjectintegrationen_US
dc.subjectcointegrationen_US
dc.subjectFrench and German stock marketsen_US
dc.subject.lccHG5474 .B39 2002en_US
dc.subject.lcshStock certificates--France--Prices.en_US
dc.subject.lcshStock exchange--France.en_US
dc.subject.lcshStock exchange--Germany.en_US
dc.subject.lcshCapital market--France.en_US
dc.subject.lcshCapital market--Germany.en_US
dc.subject.lcshMoney supply.en_US
dc.subject.lcshDemand for money--Econometric models.en_US
dc.subject.lcshCointegration.en_US
dc.titleThree essays on the behavior of French stocks cross-listed on the German stock marketsen_US
dc.typeThesisen_US

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