Does ADR listing affect the dynamics of volatility in emerging markets?

Umutlu, Mehmet and Altay-Salih, Aslihan and Akdeniz, Levent (2010) Does ADR listing affect the dynamics of volatility in emerging markets? Finance a uver-Czech Journal of Economics and Finance, 60 (2). pp. 122-137. ISSN 0015-1920

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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.

Item Type:
Journal Article
Journal or Publication Title:
Finance a uver-Czech Journal of Economics and Finance
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1400/1402
Subjects:
ID Code:
52446
Deposited By:
Deposited On:
03 Feb 2012 14:23
Refereed?:
Yes
Published?:
Published
Last Modified:
01 Jan 2020 07:47