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Transmission of shocks from cross-listed markets to the return and volatility of domestic stocks

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  • Jaiswal-Dale, Ameeta
  • Jithendranathan, Thadavillil

Abstract

This paper examines the transmission of information from German and the U.S. markets to domestic markets using daily price and volume data of 264 stocks from 26 countries that are traded in their home country and cross-listed outside their home market as depository receipts (DRs); in the German market as Global Depository Receipts (GDRs) and in the U.S. as American Depository Receipts (ADRs). We identify days with significant news arrivals in a market through minimum thresholds for both significant absolute price change and trading volume. DR returns and volatilities are affected by the shocks in the markets where they are cross-listed controlling for domestic shocks. Contemporaneous and/or lagged shocks to the cross-listed markets are transmitted to domestic stock returns and volatilities. South American DRs are affected mostly by U.S. shocks, while Eastern European DRs show greater reaction to the German shocks.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Multinational Financial Management.

Volume (Year): 19 (2009)
Issue (Month): 5 (December)
Pages: 395-408

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Handle: RePEc:eee:mulfin:v:19:y:2009:i:5:p:395-408

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Web page: http://www.elsevier.com/locate/mulfin

Related research

Keywords: Cross-listing American Depository Receipts (ADRs) Global Depository Receipts (GDRs) Transmission of stocks;

References

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Cited by:
  1. Alhaj-Yaseen, Yaseen S. & Lam, Eddery & Barkoulas, John T., 2014. "Price discovery for cross-listed firms with foreign IPOs," International Review of Financial Analysis, Elsevier, vol. 31(C), pages 80-87.
  2. Sarwar, Ghulam, 2012. "Is VIX an investor fear gauge in BRIC equity markets?," Journal of Multinational Financial Management, Elsevier, vol. 22(3), pages 55-65.

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