Impact of International Listing on Return Distribution: an Intervention Analysis with Australian Stocks

This study examines the effect of international listing on the conditional return distribution of Australian stocks in the domestic market. We conduct an intervention analysis in an EGARCH framework to measure any shift in the parameters describing the daily return generating process. All fifteen stocks that were listed on the major U.S. exchanges (NYSE and NASDAQ) as American Depositary Receipts (ADRs) during the years 1981 to 1996 are analyzed. The involvement of two exchanges allows us to study whether the listing exchange itself has an impact on the return distribution. Although we find evidence of statistical shift in the characteristics of the return distribution from individual stocks, there is no systematic market-wide pattern in the impact. One possible explanation of this finding is that the Australian equity market has been globally integrated and any impact on the return distribution from the international listings is likely to be firm specific.