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Does ADR listing affect the dynamics of volatility in emerging markets?

Research output: Contribution to Journal/MagazineJournal articlepeer-review

<mark>Journal publication date</mark>05/2010
<mark>Journal</mark>Finance a uver-Czech Journal of Economics and Finance
Issue number2
Number of pages16
Pages (from-to)122-137
Publication StatusPublished
<mark>Original language</mark>English


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.