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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 |
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