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.
Year of publication: |
2008
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Authors: | Chen, Haiqiang ; Choi, "Paul" Moon Sub ; Kim, Hyunseob |
Published in: |
Journal of Multinational Financial Management. - Elsevier, ISSN 1042-444X. - Vol. 18.2008, 4, p. 346-368
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Publisher: |
Elsevier |
Saved in:
Online Resource
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