Does ADR Listing Affect the Dynamics of Volatility in Emerging Markets?


Umutlu M., Salih A., Akdeniz L.

FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE, vol.60, no.2, pp.122-137, 2010 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 60 Issue: 2
  • Publication Date: 2010
  • Journal Name: FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.122-137
  • TED University Affiliated: No

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.