Seasonal anomalies in the market for American depository receipts

Júlio Lobão
Additional contact information
Júlio Lobão: Faculdade de Economia, Universidade do Porto, Porto, Portugal

Journal of Economics, Finance and Administrative Science, 2019, vol. 24, issue 48, 241-265

Abstract: The literature provides extensive evidence for seasonality in stock market returns, but is almost non-existent concerning the potential seasonality in American depository receipts (ADRs). To fill this gap, this paper aims to examine a number of seasonal effects in the market for ADRs. ' The results show the presence of a highly significant pre-holiday effect in all return series, which does not seem to be justified by risk. Moreover, turn-of-the-month effects, monthly effects and day-of-the-week effects were detected in some of the ADRs. The seasonality patterns under analysis tended to be stronger in emerging market-based ADRs. ' Overall, the results show that significant seasonal patterns were present in the price dynamics of ADRs. Moreover, the findings lend support to the idea that emerging markets are less efficient than developed stock markets.

Keywords: Emerging markets; American depository receipts; Seasonal anomalies; Market efficiency; Developed markets (search for similar items in EconPapers)
JEL-codes: C01 C13 C58 F31 F37 G11 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... -depository-receipts Full text (application/pdf)

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:ris:joefas:0148

Access Statistics for this article

Journal of Economics, Finance and Administrative Science is currently edited by Nestor U. Salcedo

More articles in Journal of Economics, Finance and Administrative Science from Universidad ESAN 1652 Alonso de Molina, Santiago de Surco 15023, Lima, Peru. Contact information at EDIRC.
Bibliographic data for series maintained by ESAN Ediciones ().