Impact of international listing on return distribution

V. T. Alaganar and Ramaprasad Bhar

Journal of the Asia Pacific Economy, 2004, vol. 9, issue 1, 101-117

Abstract: This study examines the effect of international listing on the conditional return distribution of Australian stocks in the domestic market. We conduct an intervention analysis in an EGARCH framework to measure any shift in the para­meters describing the daily return generating process. All fifteen stocks that were listed on the major US exchanges (NYSE and NASDAQ ) as American Depositary Receipts (ADRs) during the years 1981 to 1996 are analysed. The involvement of two exchanges allows us to study whether the listing exchange itself has an impact on the return distribution. Although we find evidence of statistical shift in the characteristics of the return distribution from individual stocks, there is no systematic market-wide pattern in the impact. From a policy perspective, the results imply (1) the Australian equity market is globally integrated and priced efficiently, and (2) the benefits of dual listing, if any, tend to be firm-specific.

Date: 2004
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/13547860310001628320 (text/html)
Access to full text is restricted to subscribers.

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:taf:rjapxx:v:9:y:2004:i:1:p:101-117

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rjap20

DOI: 10.1080/13547860310001628320

Access Statistics for this article

Journal of the Asia Pacific Economy is currently edited by Leong Liew

More articles in Journal of the Asia Pacific Economy from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().