Lee, Chien-Chiang; Chen, Mei-Ping; Chang, Chi-Hung - In: Japan and the World Economy 32 (2014) C, pp. 96-110
This paper investigates the co-movement of American depositary receipts (ADRs) and the industry returns of home and U.S. markets with a focus on industry co-movement by applying time-varying and constant copulas model specifications. We also examine the impacts of country-specific factors on the...