Regime-switching analysis of ADR home market pass-through

Hui He and Jiawen Yang ()

Journal of Banking & Finance, 2011, vol. 35, issue 1, 204-214

Abstract: We model and estimate ADRs' home market pass-through and pricing-to-market using a regime-switching approach, which nests the two regimes in a conditional capital asset pricing model and treats any changes in these two regimes probabilistically. Our results from the 1998 to 2006 data show that the pricing-to-market regime dominates ADRs from China and Japan, whereas the home market pass-through regime dominates ADRs from Argentina and Germany when their respective home markets are volatile.

Keywords: ADRs; Regime; switching; Conditional; CAPM; International; finance (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378-4266(10)00297-9
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:35:y:2011:i:1:p:204-214

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().