Assessing international financial integration
Do industry and firm-specific characteristics matter? Evidence from the Japanese market
Bibliographic Data
| ID | 15067675 |
|---|---|
| Authors | Mei‐Ping Chen (0000-0002-1888-5957, National Taichung University of Science and Technology), Mei-Ping Chen (National Taichung University of Science and Technology), Dai-Tzung Chung (National Sun Yat-sen University), Yu-Hui Lin (0000-0002-9904-0509, Nan Kai University of Technology, corresponding author) |
| Year | 2018 |
| Volume | 31 |
| Issue | 1 |
| Pages | 860-879 |
| Publication date | 2018-01-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economic Research-Ekonomska Istraživanja (JOURNAL) |
| Journal identifiers | ISSN: 1331-677X • E-ISSN: 1848-9664 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/1331677x.2018.1456348 |
| OpenAlex | W2802258046 |
| Language | EN |
| References cited | 42 |
International financial integration has received much attention among professional investors. The purpose of this study is to investigate the relationship between financial integration and industry and firm-specific characteristics through analysing cross-listing premiums (determined by the price difference between American Depositary Receipts (A.D.R.s) and their underlining stocks) in Japan. Employing autoregressive models to examine convergence speeds of a shock to the price difference and non-linear Band-threshold autoregressive models to identify non-arbitrage bands, we find that firms integrate well when they are larger in size, sales growth, turnover, performance, institutional holdings, or marked by merger activity, overseas subsidiaries, industrial or consumer goods industries, and a longer history of A.D.R. listing. That is, the A.D.R. with the abovementioned characteristics tends to have less scope for arbitrage. However, cross-market premiums for firms which have large shareholders and a larger extent of earnings management converge more slowly and have longer half-lives, implying more arbitrage opportunities exist. The explanatory variables applied explain over 35% of variance of premium, and most of the variables remain significant determinants of half-lives whether autoregressive or threshold autoregressive modules are used, but firm leverage is not. The results show that the metals and mining industry converges notably slower than other industries, indicating arbitrage is possible
Arbitrage · Autoregressive model · Business · Corporate governance · Earnings · Econometrics · Economics · Financial economics · Monetary economics · Shareholder · Banking stability, regulation, efficiency · Corporate Finance and Governance · Financial Markets and Investment Strategies · Finance
| Highly cited | No |
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