American depositary receipts: Asia-Pacific evidence on convergence and dynamics
This study explores the convergence between the prices of American Depositary Receipts (ADRs) listed by Asia-Pacific firms and their original shares listed on home exchanges. Instead of relying on conventional parametric approaches that carry embedded model-specification errors, we contribute to the literature by introducing a nonparametric technique to estimate the convergence speed parameter. We present the time-varying characteristics of both firm and country-level convergence speed parameters. Furthermore, we empirically verify and visually corroborate the comparative dynamics of convergence with respect to short sales restrictions, trading time differences, and market-tier measures proxied by the Morgan Stanley Capital International indices. We conclude that enhancement in market efficiency accelerates the reversion to the parity of ADR-pairs.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Gagnon, Louis & Andrew Karolyi, G., 2010.
"Multi-market trading and arbitrage,"
Journal of Financial Economics,
Elsevier, vol. 97(1), pages 53-80, July.
- Hasbrouck, Joel, 1995. " One Security, Many Markets: Determining the Contributions to Price Discovery," Journal of Finance, American Finance Association, vol. 50(4), pages 1175-99, September.
- Grammig, Joachim & Melvin, Michael & Schlag, Christian, 2005.
"Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects,"
Journal of Empirical Finance,
Elsevier, vol. 12(1), pages 139-164, January.
- Joachim Grammig & Michael Melvin & Christian Schlag, 2005. "Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects," Working Paper Series: Finance and Accounting 78, Department of Finance, Goethe University Frankfurt am Main.
- Su, Qian & Chong, Terence Tai-Leung, 2007. "Determining the contributions to price discovery for Chinese cross-listed stocks," Pacific-Basin Finance Journal, Elsevier, vol. 15(2), pages 140-153, April.
- Michael Melvin, .
"A Stock Market Boom During a Financial Crisis? ADRs and capital outflows in Argentina,"
2133524, Department of Economics, W. P. Carey School of Business, Arizona State University.
- Melvin, Michael, 2003. "A stock market boom during a financial crisis?: ADRs and capital outflows in Argentina," Economics Letters, Elsevier, vol. 81(1), pages 129-136, October.
- Michael, Panos & Nobay, A Robert & Peel, David A, 1997.
"Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation,"
Journal of Political Economy,
University of Chicago Press, vol. 105(4), pages 862-79, August.
- Tom Doan, . "RATS programs to replicate Michael-Nobay-Peel ESTAR models," Statistical Software Components RTZ00113, Boston College Department of Economics.
- Taylor, Mark P & Peel, David A & Sarno, Lucio, 2001.
"Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 1015-42, November.
- Peel, David & Sarno, Lucio & Taylor, Mark P, 2001. "Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles," CEPR Discussion Papers 2658, C.E.P.R. Discussion Papers.
- William N. Goetzmann & Ning Zhu & Arturo Bris, 2003.
"Efficiency and the Bear: Short Sales and Markets around the World,"
NBER Working Papers
9466, National Bureau of Economic Research, Inc.
- Arturo Bris & William N. Goetzmann & Ning Zhu, 2007. "Efficiency and the Bear: Short Sales and Markets Around the World," Journal of Finance, American Finance Association, vol. 62(3), pages 1029-1079, 06.
- Arturo Bris & William N. Goetzmann & Ning Zhu, 2004. "Efficiency and the Bear: Short Sales and Markets around the World," Yale School of Management Working Papers ysm15, Yale School of Management.
- Arturo Bris & William N. Goetzmann & Ning Zhu, 2003. "Efficiency and the Bear: Short Sales and Markets around the World," Yale School of Management Working Papers ysm321, Yale School of Management.
- Arturo Bris & William Goetzmann & Ning Zhu, 2004. "Efficiency and the Bear: Short Sales and Markets around the World," Yale School of Management Working Papers ysm327, Yale School of Management, revised 01 Feb 2005.
- Kenneth A. Froot & Emil Dabora, 1998.
"How are Stock Prices Affected by the Location of Trade?,"
NBER Working Papers
6572, National Bureau of Economic Research, Inc.
- Froot, Kenneth A. & Dabora, Emil M., 1999. "How are stock prices affected by the location of trade?," Journal of Financial Economics, Elsevier, vol. 53(2), pages 189-216, August.
- 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.
- Rabinovitch, Ramon & Silva, Ana Cristina & Susmel, Raul, 2003. "Returns on ADRs and arbitrage in emerging markets," Emerging Markets Review, Elsevier, vol. 4(3), pages 225-247, September.
- Lieberman, Offer & Ben-Zion, Uri & Hauser, Shmuel, 1999. "A characterization of the price behavior of international dual stocks: an error correction approach," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 289-304, February.
- Ding, David K. & Harris, Frederick H. deB. & Lau, Sie Ting & McInish, Thomas H., 1999. "An investigation of price discovery in informationally-linked markets: equity trading in Malaysia and Singapore," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 317-329, November.
When requesting a correction, please mention this item's handle: RePEc:eee:mulfin:v:18:y:2008:i:4:p:346-368. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.