Volatility links between the home and the host market for U.K. dual-listed stocks on U.S. markets

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:	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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