Return and Volatility Intra-Day Transmission of Dually-Traded Stocks: The Cases of Taiwan, Korea, Hong Kong, and Singapore

Sheng-Yung Yang (), Shuh-Chyi Doong, Alan T. Wang and Te-Li Chang
Additional contact information
Alan T. Wang: Graduate Institute of Finance & Banking, National Cheng Kung University, Taiwan
Te-Li Chang: Department of Finance, National Chung Hsing University, Taiwan

Journal of Economics and Management, 2005, vol. 1, issue 2, 119-141

Abstract: The paper applies the two-stage GJR-GARCH model to investigate the intra-day return and volatility transmission behavior between ADRs and their underlying stocks using data from Japan, Taiwan, Korea, Hong Kong, and Singapore. Empirical results show that the return transmission of ADRs and their underlying stocks from Japan, Taiwan, Korea, Hong Kong, and Singapore companies is bi-directional. The return spillover effect from underlying stocks to ADRs is stronger than that from ADRs to the underlying stocks. In addition, the volatility spillover between underlying stocks and ADRs is significant but not bi-directional. The volatility spillover effect from underlying stocks to ADRs is more significant. This result indicates that the local market is acting as the dominant market while the foreign market is acting as a satellite. Empirical results also show that all the underlying daytime stock returns have significant positive spillover effects on the subsequent ADR daytime returns. On the other hand, the ADR daytime returns have no significant spillover effect on the subsequent underlying stock returns. This result implies that the American market does not immediately incorporate all the information from local prices; instead there is a delayed reaction.

Keywords: ADR; spillover effect; Asian financial crisis; September 11 attacks (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2005
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.jem.org.tw/content/pdf/Vol.1No.2/02.pdf (application/pdf)
http://www.jem.org.tw/content/abstract/Vol.1No.2/English/02.htm (text/html)

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:jec:journl:v:1:y:2005:i:2:p:119-141

Access Statistics for this article

Journal of Economics and Management is currently edited by Cathy W. S. Chen and Shih-Wen Hu

More articles in Journal of Economics and Management from College of Business, Feng Chia University, Taiwan Contact information at EDIRC.
Bibliographic data for series maintained by Yi-Ju Su ().