Does ADR Listing Affect the Dynamics of Volatility in Emerging Markets?

Mehmet Umutlu and Aslihan Salih

Czech Journal of Economics and Finance (Finance a uver), 2010, vol. 60, issue 2, 122-137

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.

Keywords: return volatility; adr; egarch; cross-listing; emerging markets (search for similar items in EconPapers)
JEL-codes: C22 F36 G15 (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://journal.fsv.cuni.cz/storage/1182_122-137---umutlu.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:60:y:2010:i:2:p:122-137

Access Statistics for this article

More articles in Czech Journal of Economics and Finance (Finance a uver) from Charles University Prague, Faculty of Social Sciences Contact information at EDIRC.
Bibliographic data for series maintained by Natalie Svarcova ().