The Effect of International Cross-listings on Stock Risk

Mehmet Uzunkaya

Journal of Applied Finance & Banking, 2012, vol. 2, issue 6, 15

Abstract: In the context of capital market integration, a sample of 64 US firms is examined for any evidence of changes in stock risk as a result of international listings. Several risk measures are tested. Although we are not able to reject the hypothesis that domestic market betas do not change as a result of international listings, we find statistically significant evidence that cross-listings are associated with increases in foreign beta values. This means that sensitivity of stock returns to the common factors of the cross-listed countries increases, suggesting a decreasing effect of international listings on segmentation. Total risk of stocks are found to increase after cross-listings, consistent with the premise that increased information, trading volume, time and number of informed traders as a result of international listings increase the variance of stock returns. Overall, these results suggest evidence of capital market segmentation, rather than integration.

Date: 2012
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.scienpress.com/Upload/JAFB%2fVol%202_6_15.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:spt:apfiba:v:2:y:2012:i:6:f:2_6_15

Access Statistics for this article

More articles in Journal of Applied Finance & Banking from SCIENPRESS Ltd
Bibliographic data for series maintained by Eleftherios Spyromitros-Xioufis ().