Download or read book Does ADR Listing Affect the Dynamics of Volatility in Emerging Markets? written by Mehmet Umutlu and published by . This book was released on 2010 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the time-series variation in the return volatility of non-US stocks from emerging markets that are cross-listed on US exchanges. Unlike previous studies in the cross-listing literature, return volatility is modeled using conditional heteroscedas-ticity models. We find that firms' exposure to risks such as local and global market betas remain unchanged after cross-listing. Moreover, we do not identify notable changes in the dynamics of the volatility of cross-listed stocks after cross-listing except for leverage effects. We further show that the mean level of conditional variance is not affected after cross-listing. Thus, our results provide counter-evidence to the belief that foreign investor participation drives volatility upward.