TY - JOUR

T1 - Does ADR listing affect the dynamics of volatility in emerging markets?

AU - Umutlu, Mehmet

AU - Altay-Salih, Aslihan

AU - Akdeniz, Levent

PY - 2010/5

Y1 - 2010/5

N2 - 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.

AB - 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.

KW - return volatiliy

KW - adr

KW - cross-listing

KW - egarch

KW - emerging markets

M3 - Journal article

VL - 60

SP - 122

EP - 137

JO - Finance a uver-Czech Journal of Economics and Finance

JF - Finance a uver-Czech Journal of Economics and Finance

SN - 0015-1920

IS - 2

ER -