کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1003203 | 937556 | 2008 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Impact of futures on comovements for UK cross-listed equities
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Impact of futures on comovements for UK cross-listed equities Impact of futures on comovements for UK cross-listed equities](/preview/png/1003203.png)
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 22, Issue 2, June 2008, Pages 145-161
Journal: Research in International Business and Finance - Volume 22, Issue 2, June 2008, Pages 145-161
نویسندگان
Athanasios Koulakiotis, Constantinos Katrakilidis, Dionysios Chionis,