The dual listing of Austrian companies in Vienna and Frankfurt : dependence analysis

International capital flows can be hampered by a variety of barriers such as transaction costs, information costs, and legal restrictions. The solution in this situation can be dual listing. The framework of the research presented here assumes that domestic securities are dually listed on a foreign capital market, while none of the foreign securities is dually listed on the domestic capital market. This paper is concerned with a dependence analysis of the log-levels and returns of Austrian stocks listed in Frankfurt and Vienna. The important issue is dynamic linear and non-linear causality between log-levels (returns) of prices and the indices atx and dax. In this context the important directions of causality are found along with the level of relations of the selected typesof causality.