The impact of corporate governance, regulatory differences and futures contracts on movements among portfolios of cross-listed equities: The case of Germany

Athanasios Koulakiotis, Nikos Kartalis, Katerina Lyroudi and Nicholas Papasyriopoulos
Authors registered in the RePEc Author Service: Νικολαοσ Καρταλησ

Journal of Multinational Financial Management, 2013, vol. 23, issue 1, 34-53

Abstract: We test the impact of corporate governance effects on the stock price volatility of the DAX100 and find that these variables increase the volatility and decrease the error terms statistically significant. In addition, controlling for contemporaneous and next period's movements, we find that shocks can have a significant impact on the magnitude of stock return co-movements. In particular, our results show that the impact of the German mark/Euro and German bond price index futures shocks have a significant effect on spillovers, on contemporaneous and next period's co-movements related to firms or equities that cross-list on markets with different creditor bankruptcy protection rules. On the other hand, the impact of the German mark/Euro and the German stock price index shocks related to different shareholder protection rules have a smaller impact on both the next period's co-movements and contemporaneous co-movements among or between markets.

Keywords: Corporate governance; Cross-listing; Volatility spillovers; Futures contracts; GARCH-BEKK model (search for similar items in EconPapers)
JEL-codes: G14 G15 G34 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:23:y:2013:i:1:p:34-53

DOI: 10.1016/j.mulfin.2012.10.003

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