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

• Autores: Osmar Hazael Zavaleta Vázquez, Jaime González Maiz Jiménez
• Localización: Contaduría y administración, ISSN 0186-1042, ISSN-e 2448-8410, Vol. 61, Nº. 2, 2016, págs. 283-297
• Idioma: inglés
• DOI: 10.1016/j.cya.2015.11.005
• Texto completo no disponible (Saber más ...)
• Resumen
  • español

    El objetivo de esta investigación es evaluar el efecto no aparente sobre los precios accionarios de Latinoamérica en el momento de emitir ADRs. En particular, se estudia el impacto sobre la volatilidad y la eficiencia en los mercados locales, empleando modelos de la familia GARCH, para medir el impacto sobre la volatilidad, y modelos ARMA, para evaluar el impacto sobre la eficiencia. En general, se encontró que en el 82% de los casos analizados, al menos un resultado muestra mejora (esto es, decremento en la volatilidad y/o mejora en la eficiencia). También se encontró que una vez que los sistemas electrónicos, para comprar y vender activos, son implementados en los mercados bajo estudio, hay una mejora en el ambiente de información, por lo que se reduce el efecto de emisión de los ADR. Finalmente, este estudio contribuye a la literatura financiera porque evalúa el impacto de la emisión de ADR sobre 2 variables específicas de la microestructura de los mercados financieros, volatilidad y eficiencia, mediante el uso de metodologías estadísticas consistentes.

  • English

    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.

• Referencias bibliográficas
  • Abdallah, A., & Mohsen Saad, A. (2011). The effect of cross-listing on trading volume: Reducing segmentation versus signaling investor...
  • Al-Zoubi, H., & Al-Zubi, ´ B. (2007). Market efficiency, time-varying volatility and the asymmetric effect in Amman stock exchange. Managerial...
  • Bekaert, G., & Harvey, C. (2002). Research in emerging markets finance: Looking to the future. Emerging Markets Research, 3, 429–448.
  • Bhattacharya, U., Daouk, H., Jorgenson, B., & Kehr, C. H. (2000). When an event is not an event: The curious case of an emerging market....
  • Bodie, Kane, & Marcus. (2004). Investments. New York, NY: McGraw Hill/Irwin.
  • Bollerslev, T. (1986). Generalised autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307–327.
  • Brooks, C. (2008). Introductory econometrics for finance. Cambridge: Cambridge University Press.
  • Chang, M., & Corbitt, R. (2012). The effect of cross-listing on insider trading returns. Accounting & Finance, 52, 723–741.
  • Choundry, T. (1997). Stochastic trends in stock prices: Evidence from Latin American markets. Journal of Macroeconomics, 19, 285–304.
  • Domowitz, I., Glen, J., & Madhavan, A. (1998). International cross-listing and order flow migration: Evidence from an emerging market....
  • Eaton, T., Nofsinger, J., & Weaver, D. (2007). Disclosure and the cost of equity in international cross-listing. Review of Quantitative...
  • Enders, W. (2010). Applied econometric time series. New Jersey: John Wiley & Sons.
  • Fama, E. (1991). Efficient capital markets II. Journal of Finance, 46, 1575–1617.
  • Fernandes, N., & Ferreira, M. (2008). Does international cross-listing improve the information environment. Journal of Financial Economics,...
  • Goto, S.,Watanabe, M.,&Xu, Y.(2009). Strategic disclosure and stock returns:Theory and evidence fromUS cross-listing. The Review of Financial...
  • Hailing, M., Pagano, M., Randl, O., & Zechner, J. (2008). Where is the market? Evidence from cross-listings in the US. The Review of Financial...
  • Hayward, C. (2002). Dual listing in the U.S. adds to credibility. Financial Management, june, 4
  • Leyuan, Y., Parhizgari, A., & Srivastava, S. (2012). Cross-listing and subsequent delisting in foreign markets. Journal of Empirical Finance,...
  • Lin,J.(2011). The Effect of US GAAPCompliance on Non-US Firms’Cross-Listing Decisions andChoices.International Journal of Economics &...
  • Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59, 347–370.
  • Nowland, J., & Simon, A. (2010). The effect of a change in analyst composition on analyst forecast accuracy: Evidence from US cross-listings....
  • Salva, C., & Fresard, L. (2012). To what extent do cross-listing firms integrate into the US environment. SSRN working paper series.
  • Taylor, S.J.(1986). Forecasting the volatility of currency exchange rates.International Journal of Forecasting, 3, 159–170.
  • Urrutia, J. (1995). Tests of random walk and market efficiency for Latin American emerging equity markets. Journal of Financial Research,...
  • Waweru,K.M., Pokhariyal,G.,&Mwaura,M.(2012).TheKeyReasonsforCross-Listing inEastAfrican StockExchanges by Firmslisted in the Nairobi Securities...