Financial Market Integration: Evidence from Cross-Listed French Firms
Using high frequency data we investigate the behavior of the intraday volatility and the volume of eight cross-listed French firms. There is a two hour “overlap” period during which French firms are traded in Paris and their related American Depositary Receipts (ADRs) are traded in New York. Using c...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2017-10-01
|
| Series: | Journal of Risk and Financial Management |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1911-8074/10/4/18 |