文章基本信息

标题：The implicit impact of cross-listing on stock prices: a market microstructure perspective – The case of Latin American markets
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作者：Osmar Hazael Zavaleta Vázqueza ; Jaime González Maiz Jiménez
期刊名称：Contaduría y Administración
印刷版ISSN：0186-1042
出版年度：2016
卷号：61
期号：2
页码：283-297
语种：English
出版社：Universidad Nacional Autónoma de México
摘要：The objective of this research is to evaluate the unobserved effect of cross-listing on stock prices of companies from Latin America. Particularly, we study the impact of the issuance of ADRs on volatility and efficiency in the local markets. We employ GARCH models to assess the impact on volatility, once the ADR has been issued, and ARMA models to evaluate the impact on efficiency, once the ADR is listed. Overall, we find that in 82% of the analyzed cases, at least one result shows improvement (i.e. lower volatility and/or more efficiency, once the corresponding ADR has been issued). Further, we find that once the electronic trading systems are implemented in emerging markets, there is an improvement in terms of the information environment, thus reducing the effects of cross-listing. This study contributes to the financial literature because it tests the impact of cross-listing on two specified market microstructure variables, namely volatility and efficiency, through a robust methodology.
关键词：Cross-listing; Information environment; Microstructure; Volatility and efficiency. Enlistar en el extranjero; Ambiente de información; Microestructura; Volat...