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Effects of exchange-rate and interest-rate risk on ADR pricing behavior

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  • Bin, Feng-Shun
  • Morris, Gay B.
  • Chen, Dar-Hsin

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  • Bin, Feng-Shun & Morris, Gay B. & Chen, Dar-Hsin, 2003. "Effects of exchange-rate and interest-rate risk on ADR pricing behavior," The North American Journal of Economics and Finance, Elsevier, vol. 14(2), pages 241-262, August.
  • Handle: RePEc:eee:ecofin:v:14:y:2003:i:2:p:241-262
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    References listed on IDEAS

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    1. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
    2. Warren Bailey & Kalok Chan & Y. Peter Chung, 2000. "Depositary Receipts, Country Funds, and the Peso Crash: The Intraday Evidence," Journal of Finance, American Finance Association, vol. 55(6), pages 2693-2717, December.
    3. Robert E. Cumby & Maurice Obstfeld, 1980. "Exchange-Rate Expectations and Nominal Interest Differentials: A Test ofthe Fisher Hypothesis," NBER Working Papers 0537, National Bureau of Economic Research, Inc.
    4. De Santis, Giorgio & Gerard, Bruno, 1998. "How big is the premium for currency risk?," Journal of Financial Economics, Elsevier, vol. 49(3), pages 375-412, September.
    5. Vincent BODART & Paul REDING, 2001. "Do Foreign Exchange Markets Matter Dor Industry Stock Returns ? An empirical investigation," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2001016, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    6. Bonomo, Vittorio & Ferris, Stephen P. & Noronha, Gregory, 1993. "The international impact of Federal Reserve Bank discount rate changes : Evidence from American depository receipts," Economics Letters, Elsevier, vol. 43(2), pages 211-218.
    7. Christine X. Jiang, 1998. "Diversification with American Depository Receipts: The Dynamics and the Pricing Factors," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 25(5&6), pages 683-699.
    8. Jorion, Philippe, 1990. "The Exchange-Rate Exposure of U.S. Multinationals," The Journal of Business, University of Chicago Press, vol. 63(3), pages 331-345, July.
    9. Solnik, Bruno H., 1974. "An equilibrium model of the international capital market," Journal of Economic Theory, Elsevier, vol. 8(4), pages 500-524, August.
    10. Paul Fenton & Alain Paquet, 1997. "International Interest Rate Differentials: The Interaction with Fiscal and Monetary Variables, and the Business Cycle," Cahiers de recherche CREFE / CREFE Working Papers 56, CREFE, Université du Québec à Montréal, revised Jan 1998.
    11. Jorion, Philippe, 1991. "The Pricing of Exchange Rate Risk in the Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(03), pages 363-376, September.
    12. Liang, Youguo & Mougoue', Mbodja, 1996. "The pricing of foreign exchange risk: Evidence from ADRS," International Review of Economics & Finance, Elsevier, vol. 5(4), pages 377-385.
    13. Kim, Minho & Szakmary, Andrew C. & Mathur, Ike, 2000. "Price transmission dynamics between ADRs and their underlying foreign securities," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1359-1382, August.
    14. Cho, D Chinhyung & Eun, Cheol S & Senbet, Lemma W, 1986. " International Arbitrage Pricing Theory: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 41(2), pages 313-329, June.
    15. Sweeney, Richard J & Warga, Arthur D, 1986. " The Pricing of Interest-Rate Risk: Evidence from the Stock Market," Journal of Finance, American Finance Association, vol. 41(2), pages 393-410, June.
    16. Bodnar, Gordon M. & Gentry, William M., 1993. "Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA," Journal of International Money and Finance, Elsevier, vol. 12(1), pages 29-45, February.
    17. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    18. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    19. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    20. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    21. Giliberto, Michael, 1985. "Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(01), pages 123-126, March.
    22. Heston, Steven L. & Rouwenhorst, K. Geert, 1994. "Does industrial structure explain the benefits of international diversification?," Journal of Financial Economics, Elsevier, vol. 36(1), pages 3-27, August.
    23. Callaghan, Joseph H. & Kleiman, Robert T. & Sahu, Anandi P., 1999. "The market-adjusted investment performance of ADR IPOs and SEOs," Global Finance Journal, Elsevier, vol. 10(2), pages 123-145.
    24. Jia He & Lilian K. Ng, 1998. "The Foreign Exchange Exposure of Japanese Multinational Corporations," Journal of Finance, American Finance Association, vol. 53(2), pages 733-753, April.
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    Cited by:

    1. Parhizgari, A.M. & Nguyen, D., 2008. "ADRs under momentum and contrarian strategies," Global Finance Journal, Elsevier, vol. 19(2), pages 102-122.
    2. Otavio De Medeiros & Carmem Tiberio, 2005. "Factors Influencing Brazilian Firms in their Decision to List on Foreign Stock Exchanges," Finance 0503017, University Library of Munich, Germany.
    3. Wang, Xue & Yao, Lee J. & Fang, Victor, 2013. "Stock prices and the location of trade: Evidence from China-backed ADRs," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 677-688.
    4. Demirer, Rıza & Kutan, Ali M. & Zhang, Huacheng, 2014. "Do ADR investors herd?: Evidence from advanced and emerging markets," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 138-148.
    5. Hammoudeh, Shawkat & Sari, Ramazan, 2011. "Financial CDS, stock market and interest rates: Which drives which?," The North American Journal of Economics and Finance, Elsevier, vol. 22(3), pages 257-276.
    6. Mounira Chniguir & Mohamed Karim Kefi & Jamel Eddine Henchiri, 2017. "The Determinants of Home Bias in Stock Portfolio: An Emerging and Developed Markets Study," International Journal of Economics and Financial Issues, Econjournals, vol. 7(6), pages 182-191.
    7. Alma Hales, 2015. "Liquidity and price discovery in Latin America: evidence from American depositary receipts," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(4), pages 661-678, October.
    8. Chen, Haiqiang & Choi, Paul Moon Sub & Kim, Hyunseob, 2008. "American depositary receipts: Asia-Pacific evidence on convergence and dynamics," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 346-368, October.

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