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The dynamic relationship between the prices of ADRs and their underlying stocks: evidence from the threshold vector error correction model

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Author Info
Huimin Chung
Tsung-Wu Ho
Ling-Ju Wei
Abstract

This paper sets out to estimate the dynamic relationship that exists between the prices of ADRs and their underlying stocks, in both the short run and the long run, using a number of recent developments of the threshold cointegration framework. The empirical results support the notion of nonlinear mean reversion of the prices of ADRs and their underlying stocks.

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Article provided by Taylor and Francis Journals in its journal Applied Economics.

Volume (Year): 37 (2005)
Issue (Month): 20 (November)
Pages: 2387-2394
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Handle: RePEc:taf:applec:v:37:y:2005:i:20:p:2387-2394

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  1. Alvaro Escribano & Santiago Mira, 2001. "Nonlinear error correction models," Documentos de trabajo conjunto ULL-ULPGC 2001-03, Facultad de Ciencias Económicas de la ULPGC. [Downloadable!]
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This page was last updated on 2009-12-5.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.