Ben Sita, Bernard; Abdallah, Wissam - In: Journal of International Financial Markets, … 33 (2014) C, pp. 183-199
We investigate how idiosyncratic and systematic effects impact the volatility risk of U.K. cross-listed stocks. Under … the hypothesis that more stock followers enhance information effects on volatility, we examine whether variation in … volatility of a cross-listed stock has in a bivariate setting two edges. We establish a two-dimensional volatility variation of …