Does ADR Listing Affect the Dynamics of Volatility in Emerging Markets?
(2010)
Journal Article
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
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 condition... Read More about Does ADR Listing Affect the Dynamics of Volatility in Emerging Markets?.