This paper explores whether American Depositary Receipts (ADRs) affect the underlying local index (LD) for Japanese market, and such a phenomenon is considered as an adverse influence. Nonlinear Granger causality and Bayesian factor analysis are employed to investigate the nonlinear relationship...

This paper explores whether American Depositary Receipts (ADRs) affect the underlying local index (LD) for Japanese market, and such a phenomenon is considered as an adverse influence. Nonlinear Granger causality and Bayesian factor analysis are employed to investigate the nonlinear relationship...

This study applies the GSADF test to locate multiple bubbles in the health care sector (HCS) of the U.S., U.K., and German stock markets. The panel switching model is estimated to evaluate to what extent money supply, economic growth, and stock returns from local markets influence stock returns...