Skip to main content

Research Repository

Advanced Search

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

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

Authors

Levent Akdeniz

Aslihan Altay-Salih



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.

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
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