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Impact of futures on comovements for UK cross-listed equities

  • Koulakiotis, Athanasios
  • Katrakilidis, Constantinos
  • Chionis, Dionysios

This paper uses La Porta et al.'s [La Porta, R., De Silanes, F.L., Shleifer, A., Vishny, R.W., 1998. Law and finance. Journal of Political Economy 106 (6), 1113-1155] capital markets regulatory classification to analyse the impact of information contained in various futures contracts on the magnitude and persistence of volatility spillovers between markets. The focus here is to examine the impact of futures contracts on comovement between markets. We examine the behavior of foreign cross-listed shares that have listed in different regulatory environments. In particular, the paper analyses spillover effects between foreign cross-listings in tougher, similar and more lax regulatory environments with respect to the relevant domestic indices (FTSE100) and also with the home portfolios of cross-listed equities in the UK. We find that futures variables have a significant impact on the magnitude and persistence of volatility spillovers between markets.

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Article provided by Elsevier in its journal Research in International Business and Finance.

Volume (Year): 22 (2008)
Issue (Month): 2 (June)
Pages: 145-161

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Handle: RePEc:eee:riibaf:v:22:y:2008:i:2:p:145-161
Contact details of provider: Web page: http://www.elsevier.com/locate/ribaf

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  1. Karolyi, G Andrew & Stulz, Rene M, 1996. " Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements," Journal of Finance, American Finance Association, vol. 51(3), pages 951-86, July.
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  12. Gannon, Gerard, 2005. "Simultaneous volatility transmissions and spillover effects: U.S. and Hong Kong stock and futures markets," International Review of Financial Analysis, Elsevier, vol. 14(3), pages 326-336.
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