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Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A. - BANCOLOMBIA

Author

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  • Luis Berggrun

Abstract

Este documento analiza la dinámica de los Recibos de Deposito Americanos (ADR) de un banco colombiano (Bancolombia) en relación con los factores que inciden en su precio (precio de las acciones (preferenciales) subyacentes, la tasa de cambio y el índice del mercado accionario de Estados Unidos). El objetivo es probar si existe una relación de largo plazo entre estas variables que pueda implicar predictibilidad. Se halla una relación de cointegración que permite utilizar un modelo vectorial de corrección de errores para examinar la transmisión de choques a los precios del activo subyacente, la tasa de cambio y el índice de mercado de Estados Unidos. El principal resultado de este documento es que, en el corto plazo, los precios de las acciones subyacentes parecen ajustarse ante cambios en el precio de los ADR, señalando el hecho de que el NYSE (donde se tranzan los ADR) lidera el mercado colombiano. Sin embargo, en el largo plazo, tanto el precio de la acción subyacente como el precio del ADR, se ajustan a los cambios que ocurran en cualquiera de ellos.

Suggested Citation

  • Luis Berggrun, 2005. "Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A. - BANCOLOMBIA," Borradores de Economía y Finanzas 003370, Universidad Icesi.
  • Handle: RePEc:col:000130:003370
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    File URL: http://www.icesi.edu.co/eni/departamento/publicaciones/docs/BORRAECO/Borrador%20de%20Economia%205.pdf
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    More about this item

    Keywords

    American Depositary Receipts; stationarity tests; cointegration; vector error correction model; impulse response functions; forecast error variance decomposition;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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