The main objective of this dissertation is to evaluate the unexpressed effect of Cross-Listing on stock prices of Companies from Latin America, in particular, I expect stock prices to get closer to their intrinsic or true value after cross-listing. Specifically, I test the impact of the issuance of ADRs on two market microstructure variables, namely, volatility and efficiency, which will be assessed throughout the usage of three models: the GARCH model, which measures the impact on volatility, second, the news impact curve, which assesses the effect of volatility over bad news, and third, the proper ARMA model is specified to gauge efficiency.
Overall, in 82% of the cases at least one result is as expected, and 49% of results are consistent with the hypotheses. First, in the case of the GARCH model, 59% of the results are as expected, particularly in the case of Brazil 73% of the results are as expected, in the case of Argentina 43% are as expected, Mexico 50%, Chile 40%, Peru 50% and Colombia 100%. On the other hand, 32% of the results show improvements in terms of efficiency, specifically, in the case of Brazil 40% of the results are as expected, in the case of Argentina 43% are as expected, Mexico 25%, Chile 0%, Peru 50% and Colombia 0%. Finally, in the case of the News Impact Curve test, 56% of the results are as expected, in the case of Brazil 67% of the results are as expected, in the case of Argentina 43% are as expected, Mexico 0%, Chile 60%, Peru 100% and Colombia 100%. In contrast, assessing the effect of companies that issue ADRs versus the competition, I find that in 80% of the cases, companies that cross-list are better-off in terms of expected results when comparing with the competitors. Moreover, dividing the findings before and after the introduction of electronic systems in each country, I find that in general, before the introduction of electronic systems, overall, there is a consistency of 54% in the whole region, whereas after the introduction of electronic systems, there is a consistency of only 38% of expected results. This outcome suggests that once the electronic systems are implemented there is an improvement in terms of the information environment, thus reducing the effects of crosslisting This study contributes to the financial literature because it tests the impact of crosslisting on two specified market microstructure variables through the utilization of novel models.
|Advisor:||Vazquez, Osmar Hazael Zavaleta|
|School:||Instituto Tecnologico y de Estudios Superiores de Monterrey (Mexico)|
|Source:||DAI-A 75/06(E), Dissertation Abstracts International|
|Subjects:||Economics, Commerce-Business, Latin American Studies|
|Keywords:||Cross-listing, Impact, Implicit, Latin america, Prices, Stock|
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