The Impact of Foreign Cross-Listings on Symmetric Information Spillovers between Markets: The Case of the Paris Stock Exchange

13 Pages Posted: 10 May 2004

See all articles by Koulakiotis Athanasios

Koulakiotis Athanasios

University of Wales, Bangor

Katerina Lyroudi

University of Macedonia - Accounting and Finance

Dimitrios Angelidis

University of Macedonia

Abstract

This paper develops the approach suggested by Howe, Madura and Tucker (1993) to examine the impact of cross listing on stock price volatility in Europe. A primary focus of this paper is to provide a different methodology than the one adopted by Howe, Madura and Tucker (1993) using a modified GARCH (Generalized Autoregressive Conditional Heteroskedasticity) modeling approach as suggested by Li and Engle (1998), to examine the impact of cross-listings on volatility spillovers. The analysis also takes into account the influence of different regulatory structures across the markets where firms are cross-listed. In particular, we use LaPorta et al.'s (1998) broad stock market regulatory classification to analyze the magnitude and persistence of volatility spillovers from the foreign listing to the home equity of cross listed companies in the Paris stock exchange. We find that information spillover effects are important for the Paris market for cross-listed equities and that different regulatory environments have a significant impact on information spillovers. Volatility transmissions from foreign listing in lax regulatory environments appear to be more important for spillovers to home equity cross-listings in the case of the French stock exchange.

Keywords: International Finance, International Market Integration and Efficiency

Suggested Citation

Athanasios, Koulakiotis and Lyroudi, Katerina and Angelidis, Dimitrios, The Impact of Foreign Cross-Listings on Symmetric Information Spillovers between Markets: The Case of the Paris Stock Exchange. Available at SSRN: https://ssrn.com/abstract=495854 or http://dx.doi.org/10.2139/ssrn.495854

Koulakiotis Athanasios

University of Wales, Bangor ( email )

Bangor, Wales LL57 2DG
United Kingdom

Katerina Lyroudi (Contact Author)

University of Macedonia - Accounting and Finance ( email )

156 Egnatia Str.
Thessaloniki, 54006
Greece
+30 31 891 674 (Phone)
+30 31 844 536 (Fax)

Dimitrios Angelidis

University of Macedonia

156 Egnatia St.
P.O. 1591
Thessaloniki, 54006
Greece

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