IDEAS home Printed from https://ideas.repec.org/a/zag/zirebs/v9y2006i2p37-58.html
   My bibliography  Save this article

Measuring the Impact of Stock Exchange Rules on Volatility and Error Transmission – The Case of European Cross-Listed Equities

Author

Listed:
  • Constantinos Katrakilidis

    (Aristotle University of Thessaloniki, Greece)

  • Athanasios Koulakiotis

    (University of the Aegean, Chios, Greece)

Abstract

This paper investigates the relationship between spillover effects and stock market regulations for a sample of cross-listed European firms. Using LaPorta et al.’s (1998) stock exchange regulatory classification we identify firms that have cross-listed on foreign exchanges with either tougher, weaker or similar accounting disclosure, bankruptcy and shareholder protection rules. We then use the GARCH approach suggested by Karolyi (1995) and Engle and Kroner (1995) to estimate volatility and error transmission for our sample of cross-listed equities, taking into account regulatory differences between exchanges. Our results show how differences in stock exchange rules can influence spillovers between foreign cross-listed equities and the respective market indices. Accounting disclosure rules also seem to have less of an effect on cross-listed share volatility transmission than do differences in shareholder and bankruptcy protection rules.

Suggested Citation

  • Constantinos Katrakilidis & Athanasios Koulakiotis, 2006. "Measuring the Impact of Stock Exchange Rules on Volatility and Error Transmission – The Case of European Cross-Listed Equities," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 9(2), pages 37-58, November.
  • Handle: RePEc:zag:zirebs:v:9:y:2006:i:2:p:37-58
    as

    Download full text from publisher

    File URL: http://www.efzg.hr/default.aspx?id=6178
    Download Restriction: Abstract only available on-line

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    croos-listings; equities; error transmission; Siamese twin equities; spillover effects;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    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:zag:zirebs:v:9:y:2006:i:2:p:37-58. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jurica Šimurina). General contact details of provider: http://edirc.repec.org/data/fefzghr.html .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.