The Dual Listing of Austrian Companies in Vienna and Frankfurt: Dependence Analysis
研究了奥地利股票在法兰克福和维也纳双重上市后的价格对数水平和收益率的动态线性和非线性因果关系，帮助理解跨境资本流动的依赖性。
International capital flows can be hampered by a variety of barriers \nsuch as transaction costs, information costs, and legal restrictions. \nThe solution in this situation can be dual listing. The framework \nof the research presented here assumes that domestic securities \nare dually listed on a foreign capital market, while none of \nthe foreign securities is dually listed on the domestic capital market. \nThis paper is concerned with a dependence analysis of the \nlog-levels and returns of Austrian stocks listed in Frankfurt and \nVienna. The important issue is dynamic linear and non-linear \ncausality between log-levels (returns) of prices and the indices \nATX and DAX. In this context the important directions of causality \nare found along with the level of relations of the selected types \nof causality.