Inter-day return and volatility dynamics between Japanese ADRs and their underlying securities

Author: Yang, Sheng-Yung

Source: Applied Financial Economics, Volume 17, Number 10, June 2007 , pp. 837-853(17)

Publisher: Routledge, part of the Taylor & Francis Group

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Abstract:

In this study, we apply a more refined statistical procedure to test the dependencies and direction of inter-day spillover effects between the ADRs and their underlying shares on two nonsynchronous international markets. The empirical results provide evidence of contemporaneous return and volatility spillovers from Tokyo to New York, and vice versa. In the lagged spillover test, the evidence also suggests that the dominant market (home market) adjusts to the information from the satellite market (foreign market) in an efficient manner. In contrast, the satellite market reacts to the information from the dominant market with a delay.

Document Type: Research article

DOI: http://dx.doi.org/10.1080/09603100600722136

Affiliations: 1: Department of Finance, National Chung Hsing University, Taichung 402, Taiwan

Publication date: 2007-06-01

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