EconPapers    
Economics at your fingertips  
 

American depositary receipts: Asia-Pacific evidence on convergence and dynamics

Haiqiang Chen, Choi, "Paul" Moon Sub and Hyunseob Kim

Journal of Multinational Financial Management, 2008, vol. 18, issue 4, 346-368

Abstract: This study explores the convergence between the prices of American Depositary Receipts (ADRs) listed by Asia-Pacific firms and their original shares listed on home exchanges. Instead of relying on conventional parametric approaches that carry embedded model-specification errors, we contribute to the literature by introducing a nonparametric technique to estimate the convergence speed parameter. We present the time-varying characteristics of both firm and country-level convergence speed parameters. Furthermore, we empirically verify and visually corroborate the comparative dynamics of convergence with respect to short sales restrictions, trading time differences, and market-tier measures proxied by the Morgan Stanley Capital International indices. We conclude that enhancement in market efficiency accelerates the reversion to the parity of ADR-pairs.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042-444X(08)00005-4
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:mulfin:v:18:y:2008:i:4:p:346-368

Access Statistics for this article

Journal of Multinational Financial Management is currently edited by I. Mathur and G. G. Booth

More articles in Journal of Multinational Financial Management from Elsevier
Bibliographic data for series maintained by Nithya Sathishkumar ().

 
Page updated 2021-05-09
Handle: RePEc:eee:mulfin:v:18:y:2008:i:4:p:346-368