The impact of foreign cross‐listings on the home Dutch equities

Athanasios Koulakiotis, Dimitrios Angelidis, Konstantinos Tolikas, Phil Molyneux

Research output: Contribution to journalArticlepeer-review

Abstract

Purpose
– This paper develops the approach suggested by Howe et al. to examine the impact of cross‐listings on stock price volatility in Europe.

Design/methodology/approach
– A modified generalized autoregressive conditional hetero‐skedasticity (GARCH) modeling approach as suggested by Li and Engle is used taking into account different regulatory structures across the range of markets using LaPorta et al.'s stock market regulatory classification.

Findings
– It is found that information spillover effects are important for the Dutch market for cross‐listed equities and that a different regulatory environment may have a noteworthy impact on symmetric information spillovers.

Research limitations/implications
– The focus is 11 cross‐listing equities and on an event window of 12 years. This implies that the results may be biased on the data sample and the length of the period that used.

Practical implications
– The findings are important for the shareholders of cross‐listed companies as the various impacts of regulatory differences between markets (as a result of low and high shareholder protection rules) from foreign markets to the Dutch home market are identified.

Originality/value
– A primary focus of this paper is to provide a different methodology than the one adopted by Howe et al. using a modified GARCH modeling approach as suggested by Li and Engle, to examine the impact of the cross‐listings of Dutch firms on symmetric volatility spillovers. The analysis also takes into account the influence of different regulatory structures across the range of markets where Dutch firms are cross‐listed. In particular, we use LaPorta et al.'s stock market regulatory classification is used to analyze the magnitude and persistence of symmetric volatility spillovers from the foreign listing to the home equity of cross‐listed companies in the Dutch stock exchange.
Original languageEnglish
Pages (from-to)451-462
JournalManagerial Finance
Volume32
Issue number5
DOIs
Publication statusPublished - 1 May 2006

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