Volatility transmission for cross-listed firms and the role of international exposure
| Autor: | Bartolomé Pascual Fuster, Jorge Vicente Pérez Rodríguez |
|---|---|
| Rok vydání: | 2007 |
| Předmět: |
Economics and Econometrics
Financial economics Autoregressive conditional heteroskedasticity education Price discovery Cross listing Political Science and International Relations Economics Volatility smile Stock market Volatility (finance) Empirical evidence Volatility transmission health care economics and organizations Finance |
| Zdroj: | Japan and the World Economy. 19:303-328 |
| ISSN: | 0922-1425 |
| DOI: | 10.1016/j.japwor.2006.05.004 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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