The dynamic relationship between the prices of ADRs and their underlying stocks: evidence from the threshold vector error correction model
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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Volume (Year): 37 (2005)
Issue (Month): 20 ()
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References listed on IDEAS
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- Hansen, Bruce E. & Seo, Byeongseon, 2002.
"Testing for two-regime threshold cointegration in vector error-correction models,"
Journal of Econometrics,
Elsevier, vol. 110(2), pages 293-318, October.
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- Awudu Abdulai, 2002. "Using threshold cointegration to estimate asymmetric price transmission in the Swiss pork market," Applied Economics, Taylor & Francis Journals, vol. 34(6), pages 679-687.
- Calza, Alessandro & Gartner, Christine & Sousa, João, 2001.
"Modelling the demand for loans to the private sector in the euro area,"
Working Paper Series
0055, European Central Bank.
- A. Calza & C. Gartner & J. Sousa, 2003. "Modelling the demand for loans to the private sector in the euro area," Applied Economics, Taylor & Francis Journals, vol. 35(1), pages 107-117.
- Mira, Santiago & Escribano, Álvaro, 1997.
"Nonlinear error correction models,"
DES - Working Papers. Statistics and Econometrics. WS
6206, Universidad Carlos III de Madrid. Departamento de Estadística.
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