Abstract
This paper studies the effects of international cross-listing and delisting on the overall daily volatility, nontrading-hour volatility and trading-hour volatility of stock returns, with a focus on the U.S. firms cross-listed/delisted on the Tokyo Stock Exchange. We find that international cross-listing (delisting) reduces (increases) overall and trading-hour volatility while keeps non-trading-hour volatility unaffected. The findings are consistent with the hypothesis that international cross-listing (delisting) reduces (increases) the amount of private information and non-informed speculations.
Highlights
International stock cross-listing has drawn people’s attention for quite a long time
Glen, and Madhavan [8] contend the traditional dichotomy between market integration and fragmentation and examine both volatility and liquidity changes due to international cross-listing by comparing Mexican domestic stocks and their American Depositary Receipts
Little literature has focused on the effects of cross-delisting on volatility, it is natural to examine if cross-delisting just has the opposite effects as cross-listing. We investigate both impacts of international cross-listing and cross-delisting on volatility with more robust methodology
Summary
International stock cross-listing has drawn people’s attention for quite a long time. Some firms decide to list themselves in abroad stock exchanges. Whether this action is value creation or reduction and how it will affect stock prices have been hotly debated. Using Tokyo Stock Exchange data, Barclay, Litzenberger, and Warner [3] arguet hat international cross-listing does neither affect the overall level of variance nor its overnight pattern, but does increase the vo-. Glen, and Madhavan [8] contend the traditional dichotomy between market integration and fragmentation and examine both volatility and liquidity changes due to international cross-listing by comparing Mexican domestic stocks and their American Depositary Receipts. Bayar and Onder [4] use a similar approach to study liquidity and price volatilities of cross-listed French stocks and provide evidence for the lack of market integration between French and German markets
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