dc.contributor.author |
Umutlu, Mehmet
|
|
dc.contributor.author |
Altay-Salih, Aslıhan
|
|
dc.contributor.author |
Akdeniz, Levent
|
|
dc.date.accessioned |
2016-06-14T09:05:40Z |
|
dc.date.available |
2016-06-14T09:05:40Z |
|
dc.date.issued |
2010 |
|
dc.identifier.citation |
Umutlu, M., Altay-Salih, A., Akdeniz, S. (2010). Does ADR listing affect the dynamics of volatility in emerging markets?. Finance A Uver-Czech Journal of Economics and Finance , 60(2), 122-137. |
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dc.identifier.issn |
0015-1920 |
|
dc.identifier.uri |
http://hdl.handle.net/20.500.12416/1101 |
|
dc.description.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 heteroscedaslicity 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 |
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dc.language.iso |
eng |
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dc.publisher |
Charles Univ-Prague |
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dc.rights |
info:eu-repo/semantics/closedAccess |
|
dc.subject |
International Cross Listing |
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dc.subject |
Information Environment |
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dc.subject |
Equity Markets |
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dc.subject |
Stock-Returns |
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dc.subject |
United States |
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dc.subject |
Segmentation |
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dc.subject |
Receipts |
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dc.subject |
Improve |
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dc.subject |
Risk |
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dc.title |
Does ADR listing affect the dynamics of volatility in emerging markets? |
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dc.type |
article |
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dc.relation.journal |
Finance A Uver-Czech Journal of Economics and Finance |
tr_TR |
dc.contributor.authorID |
38254 |
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dc.contributor.authorID |
178057 |
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dc.identifier.volume |
60 |
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dc.identifier.issue |
2 |
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dc.identifier.startpage |
122 |
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dc.identifier.endpage |
137 |
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dc.contributor.department |
Çankaya Üniversitesi, İktisadi İdari Bilimler Fakültesi, İşletme Bölümü |
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