Going public abroad: the dynamics of return spillovers in an atypical international cross listing case
AbstractIn this study we investigate the dynamics of the return transmission mechanism across markets (spillover effects) in the atypical international cross listing case where the stock has gone public abroad and then cross listed in the home market. Previous studies have examined such dynamic return interactions in the typical case, where a company goes public in the domestic capital market and subsequently cross lists its stock in a foreign stock exchange. Our sample consists of Israeli stocks that went public in the US and then cross listed in the home market. The empirical evidence suggests that return spillovers are significantly positive in both directions but home-to-US return spillovers are stronger than those of US-to-home. The magnitude of the return dependencies across the home and the US markets is weaker among firms facing greater risk of information asymmetry. There is a tendency for reversal of the US market returns associated with high-volume shocks in the home market but a tendency for continuation in the opposite direction. The greater the information asymmetry facing firms the greater the tendency for continuation and the weaker the tendency for reversal.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 22 (2012)
Issue (Month): 24 (December)
Contact details of provider:
Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.