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Price transmission dynamics between ADRs and their underlying foreign securities

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Author Info
Kim, Minho
Szakmary, Andrew C.
Mathur, Ike

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6VCY-40NMT46-7/2/5942887b63f514aa0459d23766b09271
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 24 (2000)
Issue (Month): 8 (August)
Pages: 1359-1382
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Handle: RePEc:eee:jbfina:v:24:y:2000:i:8:p:1359-1382

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  1. Joachim Grammig & Michael Melvin & Christian Schlag, 2005. "Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects," Working Paper Series: Finance and Accounting 78, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
    Other versions:
  2. Kate Phylaktis & Gikas Manalis, 2005. "Price transmission dynamics between informationally linked securities," Applied Financial Economics, Taylor and Francis Journals, vol. 15(3), pages 187-201, February. [Downloadable!] (restricted)
  3. repec:emp:wpaper:wp04-06 is not listed on IDEAS
  4. GRAMMIG, Joachim & MELVIN, Michael & SCHLAG, Christian, 2001. "Price discovery in international equity trading," CORE Discussion Papers 2001028, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
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  5. Enrique G. Mendoza & Katherine A. Smith, 2004. "Quantitative Implication of A Debt-Deflation Theory of Sudden Stops and Asset Prices," NBER Working Papers 10940, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  6. Alan T. Wang & Sheng-Yung Yang, 2004. "Foreign exchange risk, world diversification and Taiwanese ADRs," Applied Economics Letters, Taylor and Francis Journals, vol. 11(12), pages 755-758, October. [Downloadable!] (restricted)
  7. Sebastian Auguste & Kathryn M.E. Dominguez & Herman Kamil & Linda L. Tesar, 2002. "Cross-Border Trading as a Mechanism for Capital Flight: ADRs and the Argentine Crisis," NBER Working Papers 9343, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
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