In the context of capital market integration, a sample of 64 US firms is examined for any evidence of changes in stock risk as a result of international listings. Several risk measures are tested. Although we are not able to reject the hypothesis that domestic market betas do not change as a result of international listings, we find statistically significant evidence that cross-listings are associated with increases in foreign beta values. This means that sensitivity of stock returns to the common factors of the cross-listed countries increases, suggesting a decreasing effect of international listings on segmentation. Total risk of stocks are found to increase after cross-listings, consistent with the premise that increased information, trading volume, time and number of informed traders as a result of international listings increase the variance of stock returns. Overall, these results suggest evidence of capital market segmentation, rather than integration.
ISSN: 1792-6599 (Online)