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Information dissemination and investors’ sensitivity

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  • Lee, Chia-Hao
  • Chou, Pei-I

Abstract

This study investigates the effects from the dissemination of price information on the price-volume relation of American depositary receipts (ADRs). We construct a measure for the sensitivity of ADR investors to price information from their underlying stocks in Asia-Pacific markets and to explore the effect of the dissemination of price information. The empirical results show that the effect of information dissemination induces the price-volume relation of ADRs to become asymmetric. These results indicate that the price information disseminated from the underlying stocks affects the trading decisions of ADR investors. Furthermore, we find that ADR investors are more sensitive to the price information of underlying stocks in more developed financial systems and economies as well as in stronger legal environments.

Suggested Citation

  • Lee, Chia-Hao & Chou, Pei-I, 2019. "Information dissemination and investors’ sensitivity," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 242-250.
    • Handle: RePEc:eee:quaeco:v:74:y:2019:i:c:p:242-250
    DOI: 10.1016/j.qref.2019.01.009
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    More about this item

    Keywords

    Information dissemination; ADRs; Information sensitivity; Trading activity;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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