کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
968675 931646 2009 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Transmission of shocks from cross-listed markets to the return and volatility of domestic stocks
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Transmission of shocks from cross-listed markets to the return and volatility of domestic stocks
چکیده انگلیسی

This paper examines the transmission of information from German and the U.S. markets to domestic markets using daily price and volume data of 264 stocks from 26 countries that are traded in their home country and cross-listed outside their home market as depository receipts (DRs); in the German market as Global Depository Receipts (GDRs) and in the U.S. as American Depository Receipts (ADRs). We identify days with significant news arrivals in a market through minimum thresholds for both significant absolute price change and trading volume. DR returns and volatilities are affected by the shocks in the markets where they are cross-listed controlling for domestic shocks. Contemporaneous and/or lagged shocks to the cross-listed markets are transmitted to domestic stock returns and volatilities. South American DRs are affected mostly by U.S. shocks, while Eastern European DRs show greater reaction to the German shocks.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multinational Financial Management - Volume 19, Issue 5, December 2009, Pages 395–408
نویسندگان
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