The impact of international cross listings on risk and return

Liquidity and price volatility of cross-listed French stocks

“…All three measures of volatility -daily volatility, trading hour volatility 11 The spread of each stock is estimated using Roll's (1984) and non-trading hour volatility -increase after crosslisting and all of them are found to be significant at 1%. The results of a t-test support the findings of other studies that volatility increases after crosslisting (see, for example, Jayaraman et al, 1993;Domowitz et al, 1998). Imperfect information flow between the French and German stock markets might explain the increase in volatility after crosslisting.…”

“…Similarly, examining ADRs from Latin American countries, Martell et al (1999) do not find a significant change in volatility of the stocks after their cross-listings. However, Jayaraman et al (1993) and Ko et al (1997) observe a significant increase in the variance of returns after cross-listing for the ADRs. The former group of researchers examines ADRs from the British, Japanese and some emerging stock markets, whereas the latter researchers examine only cross-listings of Japanese firms on either the NYSE or the OTC.…”

“…The former group of researchers examines ADRs from the British, Japanese and some emerging stock markets, whereas the latter researchers examine only cross-listings of Japanese firms on either the NYSE or the OTC. Jayaraman et al (1993) claim that the existence of informed traders increases volatility after cross-listing because cross-listing leads the informed traders to trade in both markets, and to earn more abnormal return due to information differentials in the markets. Likewise, Noronha et al (1996) note insignificant change in the spread of NYSE/AMEX listed stocks when they are cross-listed on the Tokyo and London Stock Exchanges; they explain this result by the increase in the level of informed trading.…”

“…This was done to eliminate the effects of cross-listing on other stock markets in addition to the Xetra since both Jayaraman et al (1993) and Karolyi (1993, 1999) have found that crosslisting affects stock returns within this event window. This restriction resulted in the elimination of 54 French stocks that are cross-listed on the Xetra and other exchanges during the event window from the sample.…”

Intermarket Impacts of the Removal of Short-Sale Constraints—From the View of Market Integration

“…Lowengrub 和 Melvin(2002 年) [8] 用日内交易量和波动 性 分 析 ， 结 果 显 示 德 国 和 美 国 市 场 是 整 合 的 。 Jayaraman 等(1993) [10] 声称， 交叉上市导致知情交易者 在两个市场上进行交易，并从市场上的信息差距获得 额外的异常报酬，从而增加交叉上市后的波动。 Noronha 等(1996) [11] …”