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The impact of corporate governance, regulatory differences and futures contracts on movements among portfolios of cross-listed equities: The case of Germany

Authors
Journal
Journal of Multinational Financial Management
1042-444X
Publisher
Elsevier
Volume
23
Identifiers
DOI: 10.1016/j.mulfin.2012.10.003
Keywords
  • Corporate Governance
  • Cross-Listing
  • Volatility Spillovers
  • Futures Contracts
  • Garch-Bekk Model

Abstract

Abstract We test the impact of corporate governance effects on the stock price volatility of the DAX100 and find that these variables increase the volatility and decrease the error terms statistically significant. In addition, controlling for contemporaneous and next period's movements, we find that shocks can have a significant impact on the magnitude of stock return co-movements. In particular, our results show that the impact of the German mark/Euro and German bond price index futures shocks have a significant effect on spillovers, on contemporaneous and next period's co-movements related to firms or equities that cross-list on markets with different creditor bankruptcy protection rules. On the other hand, the impact of the German mark/Euro and the German stock price index shocks related to different shareholder protection rules have a smaller impact on both the next period's co-movements and contemporaneous co-movements among or between markets.

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