Universal Journal of Accounting and Finance Vol. 5(3), pp. 60 - 71
DOI: 10.13189/ujaf.2017.050302
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Impact of International Cross-Listing and Delisting on Return Volatility

Lin Cong ^*
University of Chicago Booth School of Business, USA

ABSTRACT

This paper studies the effects of international cross-listing and delisting on the overall daily volatility, nontrading-hour volatility and trading-hour volatility of stock returns, with a focus on the U.S. firms cross-listed/delisted on the Tokyo Stock Exchange. We find that international cross-listing (delisting) reduces (increases) overall and trading-hour volatility while keeps non-trading-hour volatility unaffected. The findings are consistent with the hypothesis that international cross-listing (delisting) reduces (increases) the amount of private information and non-informed speculations.

KEYWORDS
Cross-listing, Cross-delisting, Return Volatility

Cite This Paper in IEEE or APA Citation Styles
(a). IEEE Format:
[1] Lin Cong , "Impact of International Cross-Listing and Delisting on Return Volatility," Universal Journal of Accounting and Finance, Vol. 5, No. 3, pp. 60 - 71, 2017. DOI: 10.13189/ujaf.2017.050302.

(b). APA Format:
Lin Cong (2017). Impact of International Cross-Listing and Delisting on Return Volatility. Universal Journal of Accounting and Finance, 5(3), 60 - 71. DOI: 10.13189/ujaf.2017.050302.