Analyzing the Spillover Effects from Parental Markets to Cross-listed IPOs on Mean returns and Price Volatility

Wahid, Abdul; Mumtaz, Muhammad Zubair; Mantell, Edmund H.

doi:10.21621/sajms.2019132.04

Cited by 3 publications

(2 citation statements)

References 38 publications

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“…Various studies have looked at integration from multiple perspectives, such as stock market inefficiency and the impact of developed markets on developing markets (Goyal & Mittal, 2018; Seth & Sharma, 2015; Srikanth & Aparna, 2012; Wen et al, 2019), price changes and volatile returns (Challa et al, 2018; Srikanth & Aparna, 2012; Subha & Nambi, 2010). To the best of the researcher’s knowledge, no study focuses on financial market integration through tradable assets, as cross-listed assets illustrate the pricing spillover effect of markets across the world (Akdag et al, 2020; Erdoğan et al, 2020; Nandy & Chattopadhyay, 2019; Wahid et al, 2019). More importantly, the current study revolves around addressing the following questions:…”

Section: Justification Of the Studymentioning

confidence: 99%

Stock Market Integration Through Internationally Tradable Assets

Keshari,

Gautam

2024

The Indian Economic Journal

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The study examines the influence of tradable assets in integrating the Indian stock market with global stock markets. The movement in the foreign indices has a direct spillover effect on the assets cross-listed on these exchanges in the form of American depository receipts and global depositary receipts, and the effect is simultaneously shifted to the domestic market index due to the dual listing of domestic assets. The findings of the study indicate that there is a prolonged effect of all markets combined on the Indian market during the period, and that the long-term effect between the Indian and US markets is also consistent in the long run, while the Wald test also supports the presence of a short-term effect between the Indian and US markets. Long-term and short-term causation patterns are lacking in the Luxembourg market, illustrating the partial integration of the financial markets. The present study is instrumental for investors in identifying exogenous markets for portfolio diversification, thus enabling businesses to have a global reach. JEL Codes:J C32, C58, D53

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Section: Justification Of the Studymentioning

confidence: 99%

Stock Market Integration Through Internationally Tradable Assets

Keshari,

Gautam

2024

The Indian Economic Journal

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“…The regulatory framework of the AIM allows foreign companies to list their securities, which exacerbates the difficulties for underwriters because they must take into account the complexities of foreign exchange variability as well as parental market dynamics. Moreover, there is no minimum requirement on the AIM for the size of the listing firm or the number of shares to be held by the investing public (Wahid, Mumtaz, & Mantell, 2019).…”

Section: Introductionmentioning

confidence: 99%

Valuing local and dual-class IPOs in the Alternative Investment Market

Wahid

Mumtaz

Mantell

2020

Estudios de Economía

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Initial Public Offerings are, by definition, not seasoned securities. They have not been subjected to valuation by the community of investors. It is often difficult or impossible to forecast their future cash flows because most do not have a long history of publicly disclosed financial information. Consequently, valuing IPOs in any market is more difficult than valuing seasoned equities. In this paper, we address the valuation of IPOs in the Alternative Investment Market, (hereafter the AIM.) The purpose of this study is to determine the observable factors that affect valuation in the AIM. We apply OLS, LASSO regression, and Extreme Bounds Analysis (EBA) techniques on historical accounting data to test our theory of valuation. The statistical sample consists of 2,185 IPOs issued on the AIM between 1995 and 2020. Our findings suggest that the market valuation of IPOs in the AIM is systematically related to a multiplicity of factors. These include earnings per share (EPS) in the after-market, operating cash follow per share, and the percentage of shares issued to the public. The findings of the study have a practical value for investors who are interested in buying IPOs in the AIM.

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Volatility spillovers in equity and foreign exchange markets: Evidence from emerging economies

Nyopa

Khumalo

2022

Journal of Economic and Financial Sciences

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Orientation: This study investigated the relationship between the equity markets and foreign exchange markets in Brazil, Russia, India, China and South Africa (BRICS).Research purpose: This study examined the financial connectedness through volatility spillovers and co-movements among equity and foreign exchange markets in the BRICS countries to better understand market interdependencies.Motivation for the study: The literature mainly focused on volatility transmission from developed countries.Research approach: This research, used the Diebold and Yilmaz spillover index approach (DY index). The DY index is based on variance decompositions (VD) and impulse response functions that use a vector autoregressive (VAR) modelling framework. The study period was from 02 January 1997 to 31 December 2018.Main findings: Shocks from the equity markets dominate the foreign exchange markets, while foreign exchange markets dominate their equity markets at an individual level. There are interdependencies between BRICS equity markets and foreign exchange markets, except for China, whose markets are relatively isolated from other BRICS markets. Brazil is the largest contributor of volatility spillovers to other BRICS markets. The South African rand is the most integrated within BRICS.Practical implications: Foreign exchange markets provided better diversification opportunities. Significant increases in volatility spillovers associated with turmoil periods in domestic and global markets provide evidence for contagion effects in BRICS markets.Contribution: The current account (flow-oriented model) is crucial in exchange rate determination at the individual country level. In contrast, the capital account (stock-oriented model) is a significant factor in exchange rate determinations at an aggregate level.

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Analyzing the Spillover Effects from Parental Markets to Cross-listed IPOs on Mean returns and Price Volatility

Cited by 3 publications

References 38 publications

Stock Market Integration Through Internationally Tradable Assets

Stock Market Integration Through Internationally Tradable Assets

Valuing local and dual-class IPOs in the Alternative Investment Market

Volatility spillovers in equity and foreign exchange markets: Evidence from emerging economies

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