Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/238843 
Year of Publication: 
2017
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 10 [Issue:] 4 [Publisher:] MDPI [Place:] Basel [Year:] 2017 [Pages:] 1-11
Publisher: 
MDPI, Basel
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.
Subjects: 
market integration
ADR
intraday
high frequency
ECM
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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