Pinegar, J. Michael and Ravichandran, R. (2000) Volatility Shifts of Indian Stocks Surronding Global Depositary Receipt Issues: Working Paper Series--00-03. Working Paper. NAU W.A. Franke College of Business.
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Abstract
Most Indian firms that issue equity-backed SEC Rule 144A and Regulation S Global Depositary Receipts (GDRs) in the US and Europe experience post-issue reductions in stock price volatility. The Indian index experiences similar declines. Neither the European nor the US index experiences systematic decreases in volatility, nor does volatility spill over from Europe and the US to India after GDRs are issued. Thus, the decline in volatility for Indian stocks in Bombay is not caused by changes in volatility in foreign markets where the GDRs trade. These findings support Bekaert and Harvey (1997 and 2000) and Aggarwal, Inclan, and Leal (1999) who report that changes in volatility in emerging markets come from local vis-a-vis global factors. Local influences that contribute to the volatility decline are both systematic and firm-specific influences.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Publisher’s Statement: | Copyright, where appropriate, is held by the author. |
| ID number or DOI: | 00-03 |
| Keywords: | Working paper, stock price volatility, emerging markets, foregin markets, global exchange |
| Subjects: | H Social Sciences > HG Finance |
| NAU Depositing Author Academic Status: | Faculty/Staff |
| Department/Unit: | The W.A. Franke College of Business |
| Date Deposited: | 26 Jan 2016 20:14 |
| URI: | http://openknowledge.nau.edu/id/eprint/1644 |
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