Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1003203 | Research in International Business and Finance | 2008 | 17 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Business and International Management
Authors
Athanasios Koulakiotis, Constantinos Katrakilidis, Dionysios Chionis,