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Diversification gains from American depositary receipts and foreign equities: evidence from Australian stocks

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  • Alaganar, V. T.
  • Bhar, Ramaprasad
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    File URL: http://www.sciencedirect.com/science/article/B6VGT-41Y88V2-6/2/ecbf7fca5fb6b278ebea111426cc17c3
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

    Volume (Year): 11 (2001)
    Issue (Month): 1 (March)
    Pages: 97-113

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    Handle: RePEc:eee:intfin:v:11:y:2001:i:1:p:97-113

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    Web page: http://www.elsevier.com/locate/intfin

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    References

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    1. Lee, Bong-Soo, 1992. " Causal Relations among Stock Returns, Interest Rates, Real Activity, and Inflation," Journal of Finance, American Finance Association, vol. 47(4), pages 1591-603, September.
    2. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    3. Fatemi, Ali M. & Park, Jinwoo, 1996. "Seasonal patterns in Japanese ADR returns and the US stock market influence," Japan and the World Economy, Elsevier, vol. 8(1), pages 65-79, March.
    4. Chowdhry, Bhagwan & Nanda, Vikram, 1991. "Multimarket Trading and Market Liquidity," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 483-511.
    5. Hauser, Shmuel & Tanchuma, Yael & Yaari, Uzi, 1998. "International Transfer of Pricing Information between Dually Listed Stocks," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 21(2), pages 139-57, Summer.
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    Cited by:
    1. Chen, Mei-ping & Lee, Chien-Chiang & Hsu, Yi-Chung, 2011. "The impact of American depositary receipts on the Japanese index: Do industry effect and size effect matter?," Economic Modelling, Elsevier, vol. 28(1), pages 526-539.
    2. Francis E. Warnock, 2001. "Home bias and high turnover reconsidered," International Finance Discussion Papers 702, Board of Governors of the Federal Reserve System (U.S.).
    3. Vo, Xuan Vinh, 2009. "International financial integration in Asian bond markets," Research in International Business and Finance, Elsevier, vol. 23(1), pages 90-106, January.
    4. He, Hui & Yang, Jiawen, 2012. "Day and night returns of Chinese ADRs," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2795-2803.
    5. Lee, Hsiang-Tai & Tsang, Wei-Lun, 2011. "Cross hedging single stock with American Depositary Receipt and stock index futures," Finance Research Letters, Elsevier, vol. 8(3), pages 146-157, September.
    6. Omar Esqueda & Dave Jackson, 2012. "Currency depreciation effects on ADR returns: evidence from Latin America," Journal of Economics and Finance, Springer, vol. 36(3), pages 691-711, July.
    7. Warnock, Francis E., 2002. "Home bias and high turnover reconsidered," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 795-805, November.
    8. Lok, Emily & Kalev, Petko S., 2006. "The intraday price behaviour of Australian and New Zealand cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 377-397.
    9. Demirer, Rıza & Kutan, Ali M. & Zhang, Huacheng, 2014. "Do ADR investors herd?: Evidence from advanced and emerging markets," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 138-148.
    10. Kutan, Ali M. & Zhou, Haigang, 2006. "Determinants of returns and volatility of Chinese ADRs at NYSE," Journal of Multinational Financial Management, Elsevier, vol. 16(1), pages 1-15, February.

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