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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.
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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