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Investigating the Relationship between ADR, Stock Prices and Macroeconomic Indicators: The Case of Türkiye

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  • Çağrı Kaan Yalçın
  • Levent Sezal
  • Özge Korkmaz
  • Sedat Yenice

Abstract

American Depositary Receipts (ADRs), which are traded through depositary receipt management by accepting the stock as an underlying asset, have become a frequently used investment instrument today. Since ADRs are linked to the underlying stock, there are multiple variables in determining their price. The effects of these variables on the ADR price may lead to an arbitrage gain between the underlying stock and the ADR return. The aim of the study is to identify the indicators affecting the Turkish ADR prices and to reveal the existence of arbitrage opportunities in ADRs. In the study, economic indicators affecting the price of Turkish ADRs were identified. Exchange rate, CDS premium, and various stock market indices were selected as economic indicators to be used in the analysis. Regression analysis was used in the study, where daily data were used between 2014 and 2024. As a result of the study on eight different ADRs, it is determined that the return differences between ADRs and stocks are affected by various economic indicators. Moreover, the fact that this difference does not follow a random walk, i.e., it is predictable, provides evidence that the ADR market is inefficient within the framework of the efficient market hypothesis.

Suggested Citation

  • Çağrı Kaan Yalçın & Levent Sezal & Özge Korkmaz & Sedat Yenice, 2025. "Investigating the Relationship between ADR, Stock Prices and Macroeconomic Indicators: The Case of Türkiye," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 10(2), pages 529-548.
    • Handle: RePEc:ahs:journl:v:10:y:2025:i:2:p:529-548
    DOI: 10.30784/epfad.1599858
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    References listed on IDEAS

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    1. Bae, Sung C. & Kwon, Taek Ho & Li, Mingsheng, 2008. "Foreign exchange rate exposure and risk premium in international investments: Evidence from American depositary receipts," Journal of Multinational Financial Management, Elsevier, vol. 18(2), pages 165-179, April.
    2. Sandra Renfro Callaghan & Christopher B. Barry, 2003. "Tax‐Induced Trading of Equity Securities: Evidence from the ADR Market," Journal of Finance, American Finance Association, vol. 58(4), pages 1583-1612, August.
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