Information dissemination and investors’ sensitivity

Chia-Hao Lee () and Pei-I Chou

The Quarterly Review of Economics and Finance, 2019, vol. 74, issue C, 242-250

Abstract: This study investigates the effects from the dissemination of price information on the price-volume relation of American depositary receipts (ADRs). We construct a measure for the sensitivity of ADR investors to price information from their underlying stocks in Asia-Pacific markets and to explore the effect of the dissemination of price information. The empirical results show that the effect of information dissemination induces the price-volume relation of ADRs to become asymmetric. These results indicate that the price information disseminated from the underlying stocks affects the trading decisions of ADR investors. Furthermore, we find that ADR investors are more sensitive to the price information of underlying stocks in more developed financial systems and economies as well as in stronger legal environments.

Keywords: Information dissemination; ADRs; Information sensitivity; Trading activity (search for similar items in EconPapers)
JEL-codes: F3 G12 G14 G15 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:74:y:2019:i:c:p:242-250

DOI: 10.1016/j.qref.2019.01.009

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