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Los ADRS Chilenos y sus Implicancias en Precio y Varianza en sus Activos Subyacentes

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  • Franco Parisi

Abstract

The present paper analyzes the impact of Chilean ADR issues o­n the price and variance of their underlying securities. The results indicate that the impact of the international issue o­n the dual listed securities is similar to that suggested in the finan

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Bibliographic Info

Article provided by Instituto de Economía. Pontificia Universidad Católica de Chile. in its journal Cuadernos de Economía.

Volume (Year): 34 (1997)
Issue (Month): 102 ()
Pages: 217-236

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Handle: RePEc:ioe:cuadec:v:34:y:1997:i:102:p:217-236

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  1. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
  2. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
  3. G. William Schwert, 1990. "Why Does Stock Market Volatility Change Over Time?," NBER Working Papers 2798, National Bureau of Economic Research, Inc.
  4. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  5. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
  6. Gerald P. Dwyer, Jr. & R.W. Hafer, 1988. "Are national stock markets linked?," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 3-14.
  7. Howe, John S. & Madura, Jeff, 1990. "The impact of international listings on risk : Implications for capital market integration," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1133-1142, December.
  8. Scholes, Myron & Williams, Joseph, 1977. "Estimating betas from nonsynchronous data," Journal of Financial Economics, Elsevier, vol. 5(3), pages 309-327, December.
  9. Hamao, Yasushi & Campbell, John, 1992. "Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration," Scholarly Articles 3207694, Harvard University Department of Economics.
  10. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  11. Jayaraman, Narayanan & Shastri, Kuldeep & Tandon, Kishore, 1993. "The impact of international cross listings on risk and return : The evidence from American depository receipts," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 91-103, February.
  12. King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, vol. 62(4), pages 901-33, July.
  13. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-31, February.
  14. Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-44, June.
  15. King, Mervyn A & Wadhwani, Sushil, 1990. "Transmission of Volatility between Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 5-33.
  16. Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, vol. 6(03), pages 318-334, September.
  17. Bekaert, Geert, 1995. "Market Integration and Investment Barriers in Emerging Equity Markets," World Bank Economic Review, World Bank Group, vol. 9(1), pages 75-107, January.
  18. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  19. Rosenthal, Leonard, 1983. "An empirical test of the efficiency of the ADR market," Journal of Banking & Finance, Elsevier, vol. 7(1), pages 17-29, March.
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