Skip to main content

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

Buy Article:

$55.00 plus tax (Refund Policy)

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: https://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: 2005-11-10

More about this publication?
  • Access Key
  • Free content
  • Partial Free content
  • New content
  • Open access content
  • Partial Open access content
  • Subscribed content
  • Partial Subscribed content
  • Free trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more