The impact of foreign equity ownership on emerging market share price volatility

International Finance

Volumn 3, Issue 1, 2000, Pages 95-122

  Coppejans, Mark ^a   Domowitz, Ian ^b  

^a DUKE UNIVERSITY   (United States)

^b PENNSYLVANIA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0006885848     PISSN: 13670271     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-2362.00043     Document Type: Article

References (63)

1. Admati, A. R., and P. Pfleiderer (1988), 'A Theory of Intraday Trading Patterns: Volume and Price Variability', Review of Financial Studies, 1, 3-40.
2. Alexander, G., C. Eun and S. Janakiramanan (1987), 'Asset Pricing and Dual Listing on Foreign Capital Markets: A Note', Journal of Finance, 42, 151-8.
3. _ (1988), 'International Listings and Stock Returns: Some Empirical Evidence', Journal of Financial and Quantitative Analysis, 23, 135-51.
4. Amihud, Y., and H. Mendelson (1991), 'Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market', Journal of Finance, 46, 1765-89.
5. Andrews, D. W. K. (1987), 'Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers', Econometrica, 55, 1465-72.
6. Bailey, W., and Y. P. Chung (1995), 'Exchange Rate Fluctuations, Political Risk, and Stock Returns: Some Evidence from an Emerging Market', Journal of Financial and Quantitative Analysis, 30, 541-61.
7. Bailey, W., and J. Jagtiani (1994), 'Foreign Ownership Restrictions and Stock Prices in the Thai Capital Market', Journal of Financial Economics, 36, 57-87.
8. Barclay, M. J., R. H. Litzenberger and J. B. Warner (1990), 'Private Information, Trading Volume, and Stock-return Variances', Review of Financial Studies, 3, 233-53.
9. Bates, C., and H. White (1985), 'A Unified Theory of Consistent Estimation for Parametric Models', Econometric Theory, 1, 151-78.
10. _ (1993), 'Determination of Estimators with Minimum Asymptotic Covariance Matrices', Econometric Theory, 9, 633-48.
11. Bekaert, G. (1993), 'Market Segmentation and Investment Barriers in Emerging Equity Markets', in S. Claessens and S. Gooptu, eds, Portfolio Investment in Developing Countries. New York: World Bank.
12. BIS (1999) 69th Annual Report. Basle: Bank for International Settlements.
13. Blume, L., D. Easley and M. O'Hara (1994), 'Market Statistics and Technical Analysis: The Role of Volume', Journal of Finance, 49, 153-81.
14. Burnside, C., and M. Eichenbaum (1996), 'Small Sample Properties of Generalized Method of Moments Based Wald Tests', Journal of Business and Economic Statistics, 14, 294-308.
15. Chakravorti, S. (1998), Managing Cross-border Settlement Risk: The Case of Mexican ADRs', Financial Industry Studies, Federal Reserve Bank of Dallas, September, 12-24.
16. Chan, K. C., W. Fong and R. Stulz (1996), 'Information, Trading, and Stock Returns: Lessons from Dually-listed Securities', Journal of Banking and Finance, 20, 1161-87.
17. Choe, H., B. C. Kho and R. M. Stulz (1998), Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997', Working paper, Ohio State University.
18. Chowdhry, B., and V. Nanda (1991), 'Multi-market Trading and Market Liquidity', Review of Financial Studies, 4, 623-56.
19. Claessens, S., S. Dasgupta and J. Glen (1995), 'Return Behavior in Emerging Stock Markets', World Bank Economic Review, 9, 131-51.
20. Domowitz, I., and H. White (1982), 'Misspecified Models with Dependent Observations', Journal of Econometrics, 20, 35-58.
21. Domowitz, I., J. Glen and A. Madhavan (1997), 'Market Segmentation and Stock Prices: Evidence from an Emerging Market', Journal of Finance, 52, 1059-85.
22. _ (1998), 'International Cross-listing and Order Flow Migration: Evidence from an Emerging Market', Journal of Finance, 53, 2001-27.
23. Dooley, M. P. (1995), 'A Survey of Academic Literature on Controls over International Capital Transactions', Working paper no. 5352, National Bureau of Economic Research.
24. Dow, J. (1995), 'Arbitrage, Hedging, and the Welfare Economics of Securities Market Innovation: A Model of Cross-Market Liquidity Effects', Working paper no. 207, Institute of Finance and Accounting, London Business School.
25. Errunza, V., and E. Losq (1985), 'International Asset Pricing Under Mild Segmentation: Theory and Test', Journal of Finance, 40, 105-24.
26. _ (1989), 'Capital Flow Controls, International Asset Pricing, and Investors' Welfare: A Multi-country Framework', Journal of Finance, 44, 1025-38.
27. Eun, C., and S. Janakiramanan (1986), 'A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership', Journal of Finance, 41, 897-914.
28. Freedman, R. (1990), 'A Theory of the Impact of International Cross-listing', Working paper, Stanford University.
29. French, K. R., and R. Roll (1986), 'Stock Return Variances: The Arrival of Information and the Reactions of Traders', Journal of Financial Economics, 17, 5-26.
30. Foerster, S. R., and G. A. Karolyi (1993), 'International Listings of Stocks: The Case of Canada and the US', Journal of International Business Studies, 24, 763-84.
31. _ (1999), 'The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the US', Journal of Finance, 54, 981-1013.
32. Forster, M. M., and T. George (1995), 'Trading Hours, Information Flow, and International Cross-listing', International Review of Financial Analysis, 4, 19-34.
33. Gooptu, S. (1993), 'Portfolio Investment Flows to Emerging Markets', in S. Claessens and S. Gooptu, eds, Portfolio Investment in Developing Countries. New York: World Bank.
34. Griffith, V. (1995), 'Mid-life Crisis', Latin Finance, 70, 58-9.
35. Grundy, B., and M. McNichols (1989), 'Trade and the Revelation of Information through Prices and Direct Disclosure', Review of Financial Studies, 2, 495-526.
36. Gultekin, M., N. B. Gultekin and A. Penati (1989), 'Capital Controls and International Capital Market Segmentation', Journal of Finance, 44, 849-70.
37. Hall, P., and J. L. Horowitz (1996), 'Bootstrap Critical Values for Tests Based on Generalized-method-of-moments Estimators', Econometrica, 64, 891-916.
38. Hansen, L. (1982), 'Large Sample Properties of Generalized Method of Moment Estimators', Econometrica, 50, 1029-84.
39. Harvey, C. R. (1995), 'Predictable Risk and Returns in Emerging Markets', Review of Financial Studies, 8, 773-816.
40. Hietala, P. (1989), 'Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market', Journal of Finance, 44, 697-715.
41. Howe, J., J. Madura and A. Tucker (1993), 'International Listing and Risk', Journal of International Money and Finance, 17, 99-110.
42. IMF (1999), International Capital Markets: Developments, Prospects, and Key Policy Issues. Washington, DC: International Monetary Fund.
43. _ (2000), Country Experiences with the Use and Liberalization of Capital Controls. Washington, DC: International Monetary Fund.
44. Jayaraman, N., K. Shastri and K. Tandon (1993), 'The Impact of International Cross Listings on Risk and Return: The Evidence from American Depository Receipts', Journal of Banking and Finance, 17, 91-103.
45. Jiang, C. X. (1998), 'Diversification with American Depository Receipts: The Dynamics and the Pricing Factors', Journal of Business Finance and Accounting, 25, 683-99.
46. Jones, C. M., and G. Kaul (1994), 'On the Use of Variance Ratios', Working paper, University of Michigan.
47. Jorion, P., and E. Schwartz (1986), 'Integration versus Segmentation in the Canadian Stock Market', Journal of Finance, 41, 603-16.
48. Kadlec, G. B., and J. J. McConnell (1994), 'The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings', Journal of Finance, 49, 611-36.
49. Kim, E. H., and V. Singal (1993), 'Opening Up of Stock Markets by Emerging Economies: Effect on Portfolio Flows and Volatility of Stock Prices', in S. Claessens and S. Gooptu, eds, Portfolio Investment in Developing Countries. New York: World Bank.
50. Kleidon, A., and I. Werner (1996), 'UK and US Trading of British Cross-listed Stocks: An Intra-day Analysis of Market Integration', Review of Financial Studies, 9, 619-64.
51. Kyle, A. S. (1985), 'Continuous Auctions and Insider Trading', Econometrica, 53, 1315-35.
52. Lessard, D. (1973), 'International Portfolio Diversification: A Multivariate Analysis for a Group of Latin Countries', Journal of Finance, 28, 619-33.
53. Levine, R., and S. Zervos (1998), 'Stock Markets, Banks, and Economic Growth', American Economic Review, 88, 537-58.
54. Lo, A. W., and A. C. MacKinlay (1989), 'The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Simulation', Journal of Econometrics, 40, 203-38.
55. Madhavan, A. (1992), 'Trading Mechanisms in Securities Markets', Journal of Finance, 47, 607-41.
56. _ (1995), 'Consolidation, Fragmentation, and the Disclosure of Trading Information', Review of Financial Studies, 8, 579-603.
57. Miller, D. P. (1999), 'The Market Reaction to International Cross-listings: Evidence from Depository Receipts', Journal of Financial Economics, 51, 103-23.
58. Nabeya, S. (1951), 'Absolute Moments in 2-dimensional Normal Distribution', Annals of the Institute of Statistical Mathematics, Tokyo, 3, 2-6.
59. Pagano, M. (1989), 'Endogenous Market Thinness and Stock Price Variability', Review of Economic Studies, 56, 269-88.
60. Richards, A. J. (1996), 'Volatility and Predictability in National Stock Markets: How Do Emerging and Mature Markets Differ?', IMF Staff Papers, 43, 461-501.
61. Smith, T. (1994), 'Econometrics of Financial Models and Market Microstructure Effects', Journal of Financial and Quantitative Analysis, 29, 519-40.
62. Stulz, R. (1981), 'On the Effect of Barriers to International Investment', Journal of Finance, 36, 383-403.
63. Stulz, R., and W. Wasserfallen (1995), 'Foreign Equity Restrictions, Capital Flight, and Shareholder Wealth Maximization: Theory and Evidence', Review of Financial Studies, 8, 1019-57.