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Return-Volatility Spillover and Foreign Operations of Dually-Listed Global Firms

Author

Listed:
  • Kim, Dongcheol
  • Kim, Dong-Soon

Abstract

No abstract is available for this item.

Suggested Citation

  • Kim, Dongcheol & Kim, Dong-Soon, 2007. "Return-Volatility Spillover and Foreign Operations of Dually-Listed Global Firms," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 48(1), pages 1-24, June.
    • Handle: RePEc:hit:hitjec:v:48:y:2007:i:1:p:1-24
    DOI: 10.15057/13791
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    Cited by:

    1. Ling T. He & K. Michael Casey, 2011. "On The Pricing Of Dual Class Stocks: Evidence From Berkshire Hathaway," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 5(1), pages 103-112.

    More about this item

    Keywords

    information ransmission; ADRs; underlying stocks; returns; volatility; Asian financial crisis; GARCH;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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