Umutlu, MehmetUmutlu, MehmetAltay-Salih, AslıhanAkdeniz, Levent2016-06-142016-06-142010Umutlu, M., Altay-Salih, A., Akdeniz, S. (2010). Does ADR listing affect the dynamics of volatility in emerging markets?. Finance A Uver-Czech Journal of Economics and Finance , 60(2), 122-137.0015-1920https://hdl.handle.net/20.500.12416/1101This 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 upwardeninfo:eu-repo/semantics/closedAccessInternational Cross ListingInformation EnvironmentEquity MarketsStock-ReturnsUnited StatesSegmentationReceiptsImproveRiskArticle602122137