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    Article
    Does ADR listing affect the dynamics of volatility in emerging markets?
    (Charles Univ-Prague, 2010) Umutlu, Mehmet; Altay-Salih, Aslıhan; Akdeniz, Levent; 38254; 178057
    This paper analyzes the time-series variation in the return volatility of non-US stocks from emerging markets that are cross-listed on US exchanges. Unlike previous studies in the cross-listing literature, return volatility is modeled using conditional heteroscedaslicity models. We find that firms' exposure to risks such as local and global market betas remain unchanged after cross-listing. Moreover, we do not identify notable changes in the dynamics of the volatility of cross-listed stocks after cross-listing except for leverage effects. We further show that the mean level of conditional variance is not affected after cross-listing. Thus, our results provide counter-evidence to the belief that foreign investor participation drives volatility upward
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    Article
    The degree of financial liberalization and aggregated stock-return volatility in emerging markets
    (Elsevier Science Bv, 2010) Umutlu, Mehmet; Akdeniz, Levent; Altay-Salih, Aslıhan; 38254; 178057
    In this study, we address whether the degree of financial liberalization affects the aggregated total volatility of stock returns by considering the time-varying nature of financial liberalization. We also explore channels through which the degree of financial liberalization impacts aggregated total volatility. We document a negative relation to the degree of financial liberalization after controlling for size, liquidity, country. and crisis effects, especially for small and medium-sized markets. Moreover, the degree of financial liberalization transmits its negative impact on aggregated total volatility through aggregated idiosyncratic and local volatilities. Overall, our results provide evidence in favor of the view that the broadening of the investor base due to the increasing degree of financial liberalization causes a reduction in the total volatility of stock returns