Gregory, Richard P. - In: Global Business and Economics Review 9 (2007) 1, pp. 19-37
This paper examines the role of the world market, the home market, and exchange rate factors in the conditional pricing of a sample of 80 American Depository Receipts (ADRs) from 11 developed markets. Estimations based on a Multivariate GARCH in mean (MGARCH-M) model find that changes over time...
