Volatility links between the home and the host market for U.K. dual-listed stocks on U.S. markets

Bernard Ben Sita and Wissam Abdallah

Journal of International Financial Markets, Institutions and Money, 2014, vol. 33, issue C, 183-199

Abstract: We investigate how idiosyncratic and systematic effects impact the volatility risk of U.K. cross-listed stocks. Under the hypothesis that more stock followers enhance information effects on volatility, we examine whether variation in volatility of a cross-listed stock has in a bivariate setting two edges. We establish a two-dimensional volatility variation of different magnitudes for U.K. cross-listed stocks. Specifically, we find that idiosyncratic effects induce volatility reversal, whereas systematic effects induce volatility continuation. Our findings imply that the volatility risk of a cross-listed stock is an integral of intermarket volatility effects.

Keywords: Cross-listing; Volatility; ADRs; Information transmission (search for similar items in EconPapers)
JEL-codes: C32 G11 G15 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:33:y:2014:i:c:p:183-199

DOI: 10.1016/j.intfin.2014.08.005

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