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The dynamic relationship between the prices of ADRs and their underlying stocks: evidence from the threshold vector error correction model

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Abstract:

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 nonlinear mean reversion of the prices of ADRs and their underlying stocks.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036840500218729

Affiliations: 1: Graduate Institute of Finance, National Chiao Tung University, ShinChu, 300, Taiwan 2: Department of Finance at Shih-Hsin University, Taiwan 3: Department of Management Science at the National Chiao Tung University, Taiwan

Publication date: November 10, 2005

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