Next Article in Journal
Bivariate Kumaraswamy Models via Modified FGM Copulas: Properties and Applications
Previous Article in Journal
GARCH Modelling of Cryptocurrencies
Article Menu

Export Article

Open AccessArticle
J. Risk Financial Manag. 2017, 10(4), 18; https://doi.org/10.3390/jrfm10040018

Financial Market Integration: Evidence from Cross-Listed French Firms

École Supérieur de Commerce Amiens, 18, Place Saint Michel, 80038 Amiens, France
Received: 21 August 2017 / Revised: 27 September 2017 / Accepted: 8 October 2017 / Published: 12 October 2017
Full-Text   |   PDF [1462 KB, uploaded 16 October 2017]   |  

Abstract

Using high frequency data we investigate the behavior of the intraday volatility and the volume of eight cross-listed French firms. There is a two hour “overlap” period during which French firms are traded in Paris and their related American Depositary Receipts (ADRs) are traded in New York. Using concurrent 15-min returns, this article examines the extent of market integration—defined as prices in both markets reflecting the same fundamental information—involving these firms. Our results suggest that these markets are not perfectly integrated. A significant rise in volatility and volume is observed during the two hour “overlap” period. This suggests the existence of informed trading. An error correction model (ECM) is then used to examine changes in prices of French firms in Paris and New York. These temporary changes appear to converge over time. View Full-Text
Keywords: market integration; ADR; intraday; high frequency; ECM market integration; ADR; intraday; high frequency; ECM
Figures

Figure 1

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).
SciFeed

Share & Cite This Article

MDPI and ACS Style

Mehanaoui, M. Financial Market Integration: Evidence from Cross-Listed French Firms. J. Risk Financial Manag. 2017, 10, 18.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
J. Risk Financial Manag. EISSN 1911-8074 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top