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An empirical test of the efficiency of the ADR market

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  • Rosenthal, Leonard

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  • 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.
  • Handle: RePEc:eee:jbfina:v:7:y:1983:i:1:p:17-29
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    Cited by:

    1. Liu, Shinhua, 2007. "International cross-listing and stock pricing efficiency: An empirical study," Emerging Markets Review, Elsevier, vol. 8(4), pages 251-263, December.
    2. Junming Hsu & Hsin-Yi Wang, 2008. "Why Do Price Spreads Between Domestic Shares And Their Adrs Vary Over Time?," Pacific Economic Review, Wiley Blackwell, vol. 13(4), pages 473-491, October.
    3. Visaltanachoti, Nuttawat & Yang, Ting, 2010. "Speed of convergence to market efficiency for NYSE-listed foreign stocks," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 594-605, March.
    4. McConnell, John J. & Dybevik, Heidi J. & Haushalter, David & Lie, Erik, 1996. "A survey of evidence on domestic and international stock exchange listings with implications for markets and managers," Pacific-Basin Finance Journal, Elsevier, vol. 4(4), pages 347-376, December.
    5. 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.
    6. Junming Hsu & Li-Hwei Tsai, 2008. "An Investigation on Information Transmission Between Stocks of Far Eastern Countries and Their American Depositary Receipts," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 44(4), pages 40-61, July.
    7. Gupta, Rakesh & Yuan, Tian & Roca, Eduardo, 2016. "Linkages between the ADR market and home country macroeconomic fundamentals: Evidence in the context of the BRICs," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 230-239.
    8. Pasquariello, Paolo, 2008. "The anatomy of financial crises: Evidence from the emerging ADR market," Journal of International Economics, Elsevier, vol. 76(2), pages 193-207, December.
    9. Junming Hsu & Li-Hwei Tsai, 2008. "An Investigation on Information Transmission Between Stocks of Far Eastern Countries and Their American Depositary Receipts," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 44(4), pages 40-61, July.
    10. VT Alaganar & Graham Partington & Max Stevenson, 1999. "Do Ex-Dividend Drop-Offs Differ Across Markets? Evidence from Internationally Traded (ADR) Stocks," Working Paper Series 92, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    11. Oksana Kim, 2016. "Market Efficiency and Arbitrage Opportunities for Russian Depositary Receipts Cross-Listed on the London Stock Exchange," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-36, June.
    12. Aelee Jun & Graham H. Partington, 2014. "Taxes, International Clienteles and the Value of ADR Dividends," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(9-10), pages 1337-1360, November.
    13. Ansotegui, Carmen & Bassiouny, Aliaa & Tooma, Eskandar, 2013. "The proof is in the pudding: Arbitrage is possible in limited emerging markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 342-357.
    14. Franco Parisi, 1997. "Los ADRS Chilenos y sus Implicancias en Precio y Varianza en sus Activos Subyacentes," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 34(102), pages 217-236.
    15. Ghadhab, Imen & Hellara, Slaheddine, 2015. "The law of one price, arbitrage opportunities and price convergence: Evidence from cross-listed stocks," Journal of Multinational Financial Management, Elsevier, vol. 31(C), pages 126-145.
    16. repec:eee:intfin:v:51:y:2017:i:c:p:1-14 is not listed on IDEAS

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