International diversification with American Depository Receipts (ADRs)
AbstractThe objective of the paper is to analyze whether U.S. investors can achieve diversification benefits from American Depository Receipts (ADRs) beyond what is achievable through investing directly in country indices. Our findings show substitutability between ADRs and country indices in developed region in the late 1990s, whereas the investors need to invest both ADRs and country indices in Latin America and only ADRs in Asian region in recent periods. However, large numbers of ADR issuing countries irrespective of regions show such substitutability between ADRs and country indices. The findings are both statistically and economically significant. We also find time variation in diversification benefits across countries.
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Bibliographic InfoArticle provided by Elsevier in its journal Pacific-Basin Finance Journal.
Volume (Year): 19 (2011)
Issue (Month): 1 (January)
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Web page: http://www.elsevier.com/locate/pacfin
ADRs International diversification Asset pricing Wavelet analysis;
Other versions of this item:
- Kabir, M. Humayun & Hassan, M. Kabir & Maroney, Neal C., 2005. "International Diversification with American Depository Receipts (ADRs)," Working Papers 2005-05, University of New Orleans, Department of Economics and Finance.
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other
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