La titularidad de los derechos patrimoniales de esta obra pertenece a las instituciones editoras. Su uso se rige por una licencia Creative Commons BY 4.0 Internacional, https://creativecommons.org/licenses/by/4.0/legalcode.es, fecha de asignación de la licencia 2015-12-10, para un uso diferente consultar al responsable jurídico del repositorio por medio del correo electrónico revista_cya@fca.unam.mx.
Ver términos de la licencia
Facultad de Contaduría y Administración, UNAM
Revista
Repositorio
Contacto
Revistas UNAM. Dirección General de Publicaciones y Fomento Editorial, UNAM en revistas@unam.mx
Zavaleta Vázquez, Osmar Hazael, et al. (2016). The implicit impact of cross-listing on stock prices: a market microstructure perspective – The case of Latin American markets. Contaduría y Administración; Vol. 61, Núm. 2. Recuperado de https://repositorio.unam.mx/contenidos/14355
Autor(es)
Zavaleta Vázquez, Osmar Hazael; Maiz Jiménez, Jaime González
Tipo
Artículo de Investigación
Área del conocimiento
Ciencias Sociales y Económicas
Título
The implicit impact of cross-listing on stock prices: a market microstructure perspective – The case of Latin American markets
Fecha
2015-12-10
Resumen
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.
Tema
Cross-listing; information environment; microstructure; volatility; efficiency
Idioma
spa
ISSN
ISSN electrónico: 2448-8410; ISSN impreso: 0186-1042
