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Regime-switching analysis of ADR home market pass-through

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  • He, Hui
  • Yang, Jiawen

Abstract

We model and estimate ADRs' home market pass-through and pricing-to-market using a regime-switching approach, which nests the two regimes in a conditional capital asset pricing model and treats any changes in these two regimes probabilistically. Our results from the 1998 to 2006 data show that the pricing-to-market regime dominates ADRs from China and Japan, whereas the home market pass-through regime dominates ADRs from Argentina and Germany when their respective home markets are volatile.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 35 (2011)
Issue (Month): 1 (January)
Pages: 204-214

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Handle: RePEc:eee:jbfina:v:35:y:2011:i:1:p:204-214

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

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Keywords: ADRs Regime switching Conditional CAPM International finance;

References

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Cited by:
  1. Chevallier, Julien, 2012. "Global imbalances, cross-market linkages, and the financial crisis: A multivariate Markov-switching analysis," Economic Modelling, Elsevier, vol. 29(3), pages 943-973.
  2. He, Hui & Yang, Jiawen, 2012. "Day and night returns of Chinese ADRs," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2795-2803.

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