Ben Sita, Bernard and Abdallah, Wissam  ORCID: https://orcid.org/0000-0001-6038-2387
2014.
Volatility links between the home and the host market for U.K. dual-listed stocks on U.S. markets.
Journal of International Financial Markets, Institutions and Money
33
, pp. 183-199.
10.1016/j.intfin.2014.08.005
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Abstract
We investigate how idiosyncratic and systematic effects impact the volatility risk of U.K. cross-listed stocks. Under the hypothesis that more stock followers enhance information effects on volatility, we examine whether variation in volatility of a cross-listed stock has in a bivariate setting two edges. We establish a two-dimensional volatility variation of different magnitudes for U.K. cross-listed stocks. Specifically, we find that idiosyncratic effects induce volatility reversal, whereas systematic effects induce volatility continuation. Our findings imply that the volatility risk of a cross-listed stock is an integral of intermarket volatility effects.
| Item Type: | Article |
|---|---|
| Date Type: | Publication |
| Status: | Published |
| Schools: | Schools > Business (Including Economics) |
| Subjects: | H Social Sciences > HF Commerce > HF5601 Accounting H Social Sciences > HG Finance |
| Additional Information: | Pdf uploaded in accordance with publisher's policy at http://www.sherpa.ac.uk/romeo/issn/1042-4431/ (accessed 9.1.15). |
| Publisher: | Elsevier |
| ISSN: | 1042-4431 |
| Date of First Compliant Deposit: | 30 March 2016 |
| Date of Acceptance: | 25 August 2014 |
| Last Modified: | 25 Nov 2024 22:30 |
| URI: | https://orca.cardiff.ac.uk/id/eprint/67220 |
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