erc/metu
INTERNATIONAL CONFERENCE IN ECONOMICS  IV
September 13-16, 2000, Ankara

Are the European Markets Integrated? Evidence from French Stocks Cross-listed on the German Market

Aslı Bayar (Bilkent University)
Zeynap Önder (Bilkent University)

Abstract

This study examines the behaviour of French stocks that are cross-listed on Xetra for the period between May 1998 and November 1999 is analysed. It is found that French stocks' exposure to local market risk declines and their exposure to the world market risk increases significantly after these stocks are cross-listed in the German market. These results are consistent with the market segmentation hypothesis. Similar results were observed when stocks are included into size portfolios and book-to-market value portfolios. The analysis of the abnormal returns supports the significant decline in stock returns after cross-listing.

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