Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/47037
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
Appears in Collections:Artículos
Show full item record

SCOPUSTM   
Citations

3
checked on Aug 1, 2021

WEB OF SCIENCETM
Citations

2
checked on Aug 1, 2021

Page view(s)

32
checked on Aug 1, 2021

Google ScholarTM

Check

Altmetric


Share



Export metadata



Items in accedaCRIS are protected by copyright, with all rights reserved, unless otherwise indicated.