Poshakwale, Sunil S.; Aquino, Katty Pérez - In: Global Finance Journal 19 (2008) 2, pp. 187-201
This research examines the dynamics of volatility transmission and information flow between ADRs and the underlying stocks. Using a bivariate GARCH model with BEKK parameterisation, the study investigates how changes in volatility in the ADR market affect the volatility in the underlying equity...