INTERNATIONAL LISTINGS AND RISK

被引：12

作者：

HOWE, JS

MADURA, J

TUCKER, AL

机构：

[1] FLORIDA ATLANTIC UNIV, BOCA RATON, FL 33431 USA

[2] TEMPLE UNIV, PHILADELPHIA, PA 19122 USA

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 1993年 / 12卷 / 01期

关键词：

D O I：

10.1016/0261-5606(93)90012-Z

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines changes in volatility associated with the listing of US firms' stocks on overseas exchanges. Implied volatilities are calculated for 40 firms that had exchange-listed options at the time of their international listing. The analysis documents significant increases in anticipated volatility following the overseas exchange listing, while an industry-matched control sample shows no meaningful changes in volatility. We interpret the findings as supportive of the noise trading hypothesis.

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收藏

页码：99 / 110

页数：12

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