Impact of cross-listing on local stock returns : Case of Russian ADRs

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Title: Impact of cross-listing on local stock returns : Case of Russian ADRs
Author: Smirnova, Elena
Organization: Bank of Finland
Suomen Pankki
Department / Unit: Institute for Economies in Transition (BOFIT)
Siirtymätalouksien tutkimuslaitos (BOFIT)
Series: BOFIT Online
Series number: 1/2004
Year of publication: 2004
Publication date: 5.2.2004
Pages: 18 s.
Keywords: Venäjä; yritykset; osakkeet; hinnat; volatiliteetti; tuotot; siirtymätaloudet; Bofit-kokoelma; GARCH; listautuminen
Abstract: The paper examines the impact of American Depositary Receipt (ADR) listings on the return of underlying Russian stocks.The contribution of this paper is twofold.First, it looks at a new sample of ADRs issued by Russian companies.Second, the technique used to estimate the market model is different from the previous studies.The returns are modeled to follow a GARCH process, as opposed to the usual OLS procedure, which assumes homoscedasticity in residual returns.Average abnormal returns and cumulative average abnormal returns are calculated for the [-25, +25] event window, with the ADR listing date being the event date.The results indicate a significant negative abnormal local market return on an ADR listing day.Return volatilities after the listing are compared to those before the listing. Eleven out of sixteen companies experienced increased volatility of local returns after cross-listing


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