Depositary Receipts and their underlying shares: A study on volatility
In this paper we examine the volatility dynamics of cross-listed stocks. Specifically, we study deviations in volatility between a sample of Swedish stocks listed on the OMX Stockholm 30 Index (OMXS30) with Stockholmsbörsen (SSB, the Stockholm stock exchange) as their home market, and their corresponding DRs listed on Frankfurter Wertpapierbörse (FWB, the Frankfurt Stock Exchange). The main questi