|Title:||Volatility transmission for cross-listed firms and the role of international exposure||Authors:||Pascual Fuster, Bartolomé
Pérez Rodríguez, Jorge Vicente
|UNESCO Clasification:||5311 Organización y dirección de empresas||Keywords:||Cross listing firms||Issue Date:||2007||Publisher:||0922-1425||Journal:||Japan and the World Economy||Abstract:||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.||URI:||http://hdl.handle.net/10553/47037||ISSN:||0922-1425||DOI:||10.1016/j.japwor.2006.05.004||Source:||Japan and the World Economy[ISSN 0922-1425],v. 19, p. 303-328|
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