The Effect of Cross-listing on Information Transmission and Market Integration
博士 === 國立中正大學 === 財務金融所 === 94 === This study investigates the effect of international cross-listing on intraday return volatility and volume for individual firms. A flattened U-shape pattern due to cross-listing is considered as evidence of more efficient information transmission and better market...
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ndltd-TW-094CCU053040032015-10-13T10:45:05Z http://ndltd.ncl.edu.tw/handle/27971753915925635216 The Effect of Cross-listing on Information Transmission and Market Integration 跨國上市的訊息傳遞與市場整合效果 Shu-ling Yang 楊淑玲 博士 國立中正大學 財務金融所 94 This study investigates the effect of international cross-listing on intraday return volatility and volume for individual firms. A flattened U-shape pattern due to cross-listing is considered as evidence of more efficient information transmission and better market integration. Our empirical findings indicate that cross-listing has indeed resulted in a flattened U-shape pattern of return volatility and volume, yet such flattening exhibits a time-varying trend. Furthermore, we document that the time-varying feature of information flow and market integration can be explained by the gradual lifting of both the investment barriers and home bias of investors. Finally, this study finds an asymmetric impact of cross-listing on intraday volatility and volume U-shape patterns, which is consistent with the information-base hypothesis. none NONE 薛立言 劉亞秋 2005 學位論文 ; thesis 50 zh-TW |
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博士 === 國立中正大學 === 財務金融所 === 94 === This study investigates the effect of international cross-listing on intraday return volatility and volume for individual firms. A flattened U-shape pattern due to cross-listing is considered as evidence of more efficient information transmission and better market integration. Our empirical findings indicate that cross-listing has indeed resulted in a flattened U-shape pattern of return volatility and volume, yet such flattening exhibits a time-varying trend. Furthermore, we document that the time-varying feature of information flow and market integration can be explained by the gradual lifting of both the investment barriers and home bias of investors. Finally, this study finds an asymmetric impact of cross-listing on intraday volatility and volume U-shape patterns, which is consistent with the information-base hypothesis.
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author_facet |
none Shu-ling Yang 楊淑玲 |
author |
Shu-ling Yang 楊淑玲 |
spellingShingle |
Shu-ling Yang 楊淑玲 The Effect of Cross-listing on Information Transmission and Market Integration |
author_sort |
Shu-ling Yang |
title |
The Effect of Cross-listing on Information Transmission and Market Integration |
title_short |
The Effect of Cross-listing on Information Transmission and Market Integration |
title_full |
The Effect of Cross-listing on Information Transmission and Market Integration |
title_fullStr |
The Effect of Cross-listing on Information Transmission and Market Integration |
title_full_unstemmed |
The Effect of Cross-listing on Information Transmission and Market Integration |
title_sort |
effect of cross-listing on information transmission and market integration |
publishDate |
2005 |
url |
http://ndltd.ncl.edu.tw/handle/27971753915925635216 |
work_keys_str_mv |
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