Umutlu, Mehmet; Altay-Salih, Aslihan - In: Czech Journal of Economics and Finance (Finance a uver) 60 (2010) 2, pp. 122-137
This 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 heteroscedasticity models. We find that...