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Volatility links between the home and the host market for U.K. dual-listed stocks on U.S. markets

Ben Sita, Bernard and Abdallah, Wissam 2014. Volatility links between the home and the host market for U.K. dual-listed stocks on U.S. markets. Journal of International Financial Markets, Institutions and Money 33 , pp. 183-199. 10.1016/j.intfin.2014.08.005

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Abstract

We investigate how idiosyncratic and systematic effects impact the volatility risk of U.K. cross-listed stocks. Under the hypothesis that more stock followers enhance information effects on volatility, we examine whether variation in volatility of a cross-listed stock has in a bivariate setting two edges. We establish a two-dimensional volatility variation of different magnitudes for U.K. cross-listed stocks. Specifically, we find that idiosyncratic effects induce volatility reversal, whereas systematic effects induce volatility continuation. Our findings imply that the volatility risk of a cross-listed stock is an integral of intermarket volatility effects.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Subjects: H Social Sciences > HF Commerce > HF5601 Accounting
H Social Sciences > HG Finance
Additional Information: Pdf uploaded in accordance with publisher's policy at http://www.sherpa.ac.uk/romeo/issn/1042-4431/ (accessed 9.1.15).
Publisher: Elsevier
ISSN: 1042-4431
Date of First Compliant Deposit: 30 March 2016
Date of Acceptance: 25 August 2014
Last Modified: 18 Jun 2020 15:45
URI: http://orca.cf.ac.uk/id/eprint/67220

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