کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
964832 | 930626 | 2009 | 29 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Market liberalizations at the firm level: Spillovers from ADRs and implications for local markets
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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
This paper studies the cross-sectional properties of market liberalizations by decomposing the channels through which financial market liberalization affects firms from segmented markets. Using data on 27Â emerging markets and 1000 firms, we show that the first ADR issuance in a country produces a positive spillover effect across other firms in the local market, and can thus be interpreted as a market liberalization event. The first ADR leads to a strong revaluation effect, a decrease in expected returns and average volatility; in addition, exposure to international factors increases. Overall, the cross-section of gains across firms is consistent with improved risk sharing after the cross-listing, in that firms whose returns are highly correlated with those of the issuing firm benefit the most. We also examine the dynamics of the integration process. The positive spillover effect is not limited to the first ADR introduction. Each additional cross-listing further integrates the market, although as expected, early cross-listings have stronger impact than later ones. The results also suggest that despite the negative impact on liquidity, the net effect of cross-listings on home market firms is positive, as the improved risk-sharing effect dominates the trade-diversion effect.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 28, Issue 2, March 2009, Pages 293-321
Journal: Journal of International Money and Finance - Volume 28, Issue 2, March 2009, Pages 293-321
نویسندگان
Nuno Fernandes,