IDEAS home Printed from https://ideas.repec.org/a/spt/apfiba/v2y2012i6f2_6_15.html
   My bibliography  Save this article

The Effect of International Cross-listings on Stock Risk

Author

Listed:
  • Mehmet Uzunkaya

Abstract

In the context of capital market integration, a sample of 64 US firms is examined for any evidence of changes in stock risk as a result of international listings. Several risk measures are tested. Although we are not able to reject the hypothesis that domestic market betas do not change as a result of international listings, we find statistically significant evidence that cross-listings are associated with increases in foreign beta values. This means that sensitivity of stock returns to the common factors of the cross-listed countries increases, suggesting a decreasing effect of international listings on segmentation. Total risk of stocks are found to increase after cross-listings, consistent with the premise that increased information, trading volume, time and number of informed traders as a result of international listings increase the variance of stock returns. Overall, these results suggest evidence of capital market segmentation, rather than integration.

Suggested Citation

  • Mehmet Uzunkaya, 2012. "The Effect of International Cross-listings on Stock Risk," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 2(6), pages 1-15.
  • Handle: RePEc:spt:apfiba:v:2:y:2012:i:6:f:2_6_15
    as

    Download full text from publisher

    File URL: http://www.scienpress.com/Upload/JAFB%2fVol%202_6_15.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spt:apfiba:v:2:y:2012:i:6:f:2_6_15. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Eleftherios Spyromitros-Xioufis (email available below). General contact details of provider: http://www.scienpress.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.