Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2018.1456348
Assessing international financial integration: do industry and firm-specific characteristics matter? Evidence from the Japanese market
Mei-Ping Chen
; Department of Accounting Information, National Taichung University of Science and Technology, Taichung, Taiwan
Dai-Tzung Chung
; Department of Finance, National Sun Yat-sen University, Kaohsiung, Taiwan
Yu-Hui Lin
; Department of Business Administration, Nan Kai University of Technology, Caotun, Taiwan
Sažetak
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 firmspecific
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, crossmarket
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.
Ključne riječi
Cross-listing premium; Bandthreshold autoregressive model (Band-TAR); financial integration; half-life; American depositary receipts
Hrčak ID:
206079
URI
Datum izdavanja:
3.12.2018.
Posjeta: 828 *