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The Dual Listing of Austrian Companies in Vienna and Frankfurt: Dependence Analysis

Author

Listed:
  • Lukasz Gurgul

    (Jagiellonian University in Cracow, Poland)

  • Sanela Omerovic

    (University of Graz, Austria)

  • Robert Syrek

    (Jagiellonian University in Cracow, Poland)

Abstract

International capital flows can be hampered by a variety of barriers such as transaction costs, information costs, and legal restrictions. The solution in this situation can be dual listing. The framework of the research presented here assumes that domestic securities are dually listed on a foreign capital market, while none of the foreign securities is dually listed on the domestic capital market. This paper is concerned with a dependence analysis of the log-levels and returns of Austrian stocks listed in Frankfurt and Vienna. The important issue is dynamic linear and non-linear causality between log-levels (returns) of prices and the indices ATX and DAX. In this context the important directions of causality are found along with the level of relations of the selected types of causality.

Suggested Citation

  • Lukasz Gurgul & Sanela Omerovic & Robert Syrek, 2015. "The Dual Listing of Austrian Companies in Vienna and Frankfurt: Dependence Analysis," Management, University of Primorska, Faculty of Management Koper, vol. 10(1), pages 3-15.
    • Handle: RePEc:mgt:youmng:v:10:y:2015:i:1:p:3-15
    as

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    References listed on IDEAS

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    3. Reese, William Jr. & Weisbach, Michael S., 2002. "Protection of minority shareholder interests, cross-listings in the United States, and subsequent equity offerings," Journal of Financial Economics, Elsevier, vol. 66(1), pages 65-104, October.
    4. Diks, Cees & Panchenko, Valentyn, 2006. "A new statistic and practical guidelines for nonparametric Granger causality testing," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1647-1669.
    5. Shahrokh M Saudagaran, 1988. "An Empirical Study of Selected Factors Influencing the Decision to List on Foreign Stock Exchanges," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 19(1), pages 101-127, March.
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