IDEAS home Printed from https://ideas.repec.org/a/nax/conyad/v61y2016i2p283-297.html
   My bibliography  Save this article

The implicit impact of cross-listing on stock prices: A market microstructure perspective – The case of LatinAmerican markets

Author

Listed:
  • Osmar Hazael Zavaleta Vázquez

    (Tecnológico de Monterrey, EGADE Business School, México)

  • Jaime González Maiz Jiménez

    (Universidad de las Américas Puebla, México)

Abstract

The objective of this research is to evaluate the unobserved effect of cross-listing on stock prices of companies from Latin America. Particularly, we study the impact of the issuance of ADRs on volatility and efficiency in the local markets. We employ GARCH models to assess the impact on volatility, once the ADR has been issued, and ARMA models to evaluate the impact on efficiency, once the ADR is listed. Overall, we find that in 82% of the analyzed cases, at least one result shows improvement (i.e. lower volatility and/or more efficiency, once the corresponding ADR has been issued). Further, we find that once the electronic trading systems are implemented in emerging markets, there is an improvement in terms of the information environment, thus reducing the effects of cross-listing. This study contributes to the financial literature because it tests the impact of cross-listing on two specified market microstructure variables, namely volatility and efficiency, through a robust methodology.

Suggested Citation

  • Osmar Hazael Zavaleta Vázquez & Jaime González Maiz Jiménez, 2016. "The implicit impact of cross-listing on stock prices: A market microstructure perspective – The case of LatinAmerican markets," Contaduría y Administración, Accounting and Management, vol. 61(2), pages 283-297, Abril-Jun.
    • Handle: RePEc:nax:conyad:v:61:y:2016:i:2:p:283-297
    as

    Download full text from publisher

    File URL: http://www.cya.unam.mx/index.php/cya/article/view/943
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nax:conyad:v:61:y:2016:i:2:p:283-297. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Alberto García-Narvaez (Technical Editor) (email available below). General contact details of provider: https://edirc.repec.org/data/fcunamx.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.