Volatility links between the home and the host market for U.K. dual-listed stocks on U.S. markets
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...
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2014
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| Online Access: | http://hdl.handle.net/10725/4948 http://dx.doi.org/10.1016/j.intfin.2014.08.005 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php http://www.sciencedirect.com/science/article/pii/S1042443114001097 |
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| _version_ | 1864513464939053056 |
|---|---|
| author | Ben Sita, Bernard |
| author2 | Abdallah, Wissam |
| author2_role | author |
| author_facet | Ben Sita, Bernard Abdallah, Wissam |
| author_role | author |
| dc.creator.none.fl_str_mv | Ben Sita, Bernard Abdallah, Wissam |
| dc.date.none.fl_str_mv | 2014 2016-12-15T08:12:23Z 2016-12-15T08:12:23Z 2016-12-15 |
| dc.identifier.none.fl_str_mv | 1042-4431 http://hdl.handle.net/10725/4948 http://dx.doi.org/10.1016/j.intfin.2014.08.005 Sita, B. B., & Abdallah, W. (2014). Volatility links between the home and the host market for UK dual-listed stocks on US markets. Journal of International Financial Markets, Institutions and Money, 33, 183-199. http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php http://www.sciencedirect.com/science/article/pii/S1042443114001097 |
| dc.language.none.fl_str_mv | en |
| dc.relation.none.fl_str_mv | Journal of International Financial Markets, Institutions and Money |
| dc.rights.*.fl_str_mv | info:eu-repo/semantics/openAccess |
| dc.title.none.fl_str_mv | Volatility links between the home and the host market for U.K. dual-listed stocks on U.S. markets |
| dc.type.none.fl_str_mv | Article info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | 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. |
| eu_rights_str_mv | openAccess |
| format | article |
| id | LAURepo_ed70c13adac1f9e9683d95407e45f621 |
| identifier_str_mv | 1042-4431 Sita, B. B., & Abdallah, W. (2014). Volatility links between the home and the host market for UK dual-listed stocks on US markets. Journal of International Financial Markets, Institutions and Money, 33, 183-199. |
| language_invalid_str_mv | en |
| network_acronym_str | LAURepo |
| network_name_str | Lebanese American University repository |
| oai_identifier_str | oai:laur.lau.edu.lb:10725/4948 |
| publishDate | 2014 |
| repository.mail.fl_str_mv | |
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| repository_id_str | |
| spelling | Volatility links between the home and the host market for U.K. dual-listed stocks on U.S. marketsBen Sita, BernardAbdallah, WissamWe 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.PublishedN/A2016-12-15T08:12:23Z2016-12-15T08:12:23Z20142016-12-15Articleinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article1042-4431http://hdl.handle.net/10725/4948http://dx.doi.org/10.1016/j.intfin.2014.08.005Sita, B. B., & Abdallah, W. (2014). Volatility links between the home and the host market for UK dual-listed stocks on US markets. Journal of International Financial Markets, Institutions and Money, 33, 183-199.http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.phphttp://www.sciencedirect.com/science/article/pii/S1042443114001097enJournal of International Financial Markets, Institutions and Moneyinfo:eu-repo/semantics/openAccessoai:laur.lau.edu.lb:10725/49482021-03-19T09:10:12Z |
| spellingShingle | Volatility links between the home and the host market for U.K. dual-listed stocks on U.S. markets Ben Sita, Bernard |
| status_str | publishedVersion |
| title | Volatility links between the home and the host market for U.K. dual-listed stocks on U.S. markets |
| title_full | Volatility links between the home and the host market for U.K. dual-listed stocks on U.S. markets |
| title_fullStr | Volatility links between the home and the host market for U.K. dual-listed stocks on U.S. markets |
| title_full_unstemmed | Volatility links between the home and the host market for U.K. dual-listed stocks on U.S. markets |
| title_short | Volatility links between the home and the host market for U.K. dual-listed stocks on U.S. markets |
| title_sort | Volatility links between the home and the host market for U.K. dual-listed stocks on U.S. markets |
| url | http://hdl.handle.net/10725/4948 http://dx.doi.org/10.1016/j.intfin.2014.08.005 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php http://www.sciencedirect.com/science/article/pii/S1042443114001097 |