کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5086457 | 1375182 | 2007 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Volatility transmission for cross-listed firms and the role of international exposure
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We find empirical evidence suggesting that the volatility dynamics of Japanese firms cross-listed in the US is characterized as a Meteor Shower with Country-Specific News. Furthermore, we find differences in volatility dynamics depending on the international exposure of firms. These differences are consistent with a higher contribution of foreign traders (foreign markets) to the price discovery process of Japanese firms with higher international exposure, and with a news-correlated process for these firms. We also find weaker empirical evidence suggesting a higher contribution of Japanese traders to the price discovery process of Japanese firms with lower international exposure.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Japan and the World Economy - Volume 19, Issue 3, August 2007, Pages 303-328
Journal: Japan and the World Economy - Volume 19, Issue 3, August 2007, Pages 303-328
نویسندگان
Bartolomé Pascual-Fuster, Jorge V. Pérez-RodrÃguez,