EconPapers    
Economics at your fingertips  
 

International diversification with American Depository Receipts (ADRs)

M. Humayun Kabir, M. Kabir Hassan () and Neal Maroney

Pacific-Basin Finance Journal, 2011, vol. 19, issue 1, 98-114

Abstract: The objective of the paper is to analyze whether U.S. investors can achieve diversification benefits from American Depository Receipts (ADRs) beyond what is achievable through investing directly in country indices. Our findings show substitutability between ADRs and country indices in developed region in the late 1990s, whereas the investors need to invest both ADRs and country indices in Latin America and only ADRs in Asian region in recent periods. However, large numbers of ADR issuing countries irrespective of regions show such substitutability between ADRs and country indices. The findings are both statistically and economically significant. We also find time variation in diversification benefits across countries.

Keywords: ADRs; International; diversification; Asset; pricing; Wavelet; analysis (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927-538X(10)00058-2
Full text for ScienceDirect subscribers only

Related works:
Working Paper: International Diversification with American Depository Receipts (ADRs) (2005) Downloads
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:pacfin:v:19:y:2011:i:1:p:98-114

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-10-26
Handle: RePEc:eee:pacfin:v:19:y:2011:i:1:p:98-114