Does ADR Listing Affect the Dynamics of Volatility in Emerging Markets?
Akdeniz, Levent; Altay-Salih, Aslihan; Umutlu, Mehmet
Dr Mehmet Umutlu M.Umutlu@napier.ac.uk
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.
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|
|Deposit Date||Jan 29, 2023|
|Journal||Finance a Uver: Czech Journal of Economics and Finance|
|Peer Reviewed||Peer Reviewed|
|Keywords||return volatility, adr, egarch, cross-listing, emerging markets|
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