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- W2023711039 abstract "This study examines the effect of international listing on the conditional return distribution of Australian stocks in the domestic market. We conduct an intervention analysis in an EGARCH framework to measure any shift in the parameters describing the daily return generating process. All fifteen stocks that were listed on the major US exchanges (NYSE and NASDAQ ) as American Depositary Receipts (ADRs) during the years 1981 to 1996 are analysed. The involvement of two exchanges allows us to study whether the listing exchange itself has an impact on the return distribution. Although we find evidence of statistical shift in the characteristics of the return distribution from individual stocks, there is no systematic market-wide pattern in the impact. From a policy perspective, the results imply (1) the Australian equity market is globally integrated and priced efficiently, and (2) the benefits of dual listing, if any, tend to be firm-specific." @default.
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- W2023711039 date "2004-01-01" @default.
- W2023711039 modified "2023-09-27" @default.
- W2023711039 title "Impact of international listing on return distribution" @default.
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- W2023711039 doi "https://doi.org/10.1080/13547860310001628320" @default.
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