Modelling Asymmetric Impact of Home Country Macroeconomic Variables on American Depository Receipts: Evidence from Eurozone

Muhammad Ahad (), Ijaz Rehman (), Fiza Qureshi (), Waqas Hanif () and Zaheer Anwer ()
Additional contact information
Ijaz Rehman: College of Business Administration, Al Falah University
Fiza Qureshi: IBA, University of Sindh
Waqas Hanif: Department of Management Sciences, COMSATS Institute of Information Technology

Annals of Economics and Finance, 2018, vol. 19, issue 2, 703-727

Abstract: This study investigates the impact of home country macroeconomics variables on ADR price for the period 2000-2016 for France, Germany, Greece, Italy and Spain using NARDL. The results indicate the existence of asymmetries (nonlinearity) and hidden cointegration between positive and negative partial sum of underlying variables for all countries. Money supply, in general, affects ADR prices while inflation has positive (negative) impact on ADR prices in case of France and Italy (Germany, Greece and Spain) respectively. Economic growth is only significant determinant of ADR price for France, Greece and Spain. This study opens some new insights for ADR investors.

Keywords: American depository receipts; Inflation; Economic growth; NARDL; Multipliers; Eurozone (search for similar items in EconPapers)
JEL-codes: C22 G15 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cuf:journl:y:2018:v:19:i:2:ahad:rehman:qureshi:hanif:anwer

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