The Effects of the Brazilian ADRs Program on Domestic Market Efficiency

Benjamin Miranda Tabak () and Eduardo José Araújo Lima ()

No 43, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: This paper examines the impact on Brazilian stocks following American Depositary Receipts (ADRs) listing in the U.S. stock markets. Evidence suggests that a systematic change has taken place in the post-listing period as the multivariate variance ratio statistics have significantly decreased if compared to the pre-listing period, which indicates a move toward a more efficient domestic stock market. This empirical evidence is robust to the use of dollar and local currency-denominated returns. These results add to the literature that finds evidence on changes in domestic volatility and abnormal returns around listing dates.

Date: 2002-06
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Persistent link: http://EconPapers.repec.org/RePEc:bcb:wpaper:43

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