Chung, Huimin; Ho, Tsung-Wu; Wei, Ling-Ju - In: Applied Economics 37 (2005) 20, pp. 2387-2394
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...