Does ADR Listing Affect the Dynamics of Volatility in Emerging Markets?

Akdeniz, Levent; Altay-Salih, Aslihan; Umutlu, Mehmet

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.

Citation

Akdeniz, L., Altay-Salih, A., & Umutlu, M. (2010). Does ADR Listing Affect the Dynamics of Volatility in Emerging Markets?. Czech Journal of Economics and Finance, 60(2), 122-137

• Journal Article Type: Article
• Publication Date: 2010
• Deposit Date: Jan 29, 2023
• Journal: Finance a Uver: Czech Journal of Economics and Finance
• Print ISSN: 0015-1920
• Electronic ISSN: 2464-7683
• Peer Reviewed: Peer Reviewed
• Volume: 60
• Issue: 2
• Pages: 122-137
• Keywords: return volatility, adr, egarch, cross-listing, emerging markets
• Publisher URL: https://journal.fsv.cuni.cz/mag/article/show/id/1182