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J. Risk Financial Manag. 2017, 10(4), 18;

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
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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

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

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