This paper investigates the convergence between the prices of ADRs and the prices of the Mexican traded shares using a sample of 21 dually listed shares (listed in Mexico and in the U.S.). Since both markets have similar trading hours in Mexico, standard arbitrage considerations should make...

This paper investigates the convergence between the prices of ADRs and Mexican traded shares using a sample of 21 dually listed shares. Since both markets have similar trading hours, standard arbitrage considerations should make persistent deviation from price parity rare. We use a STAR model,...