Do movements in macroeconomic determinants affect American depository receipt prices? Evidence from France

Muhammad Ahad () and Zaheer Anwer

International Journal of Finance & Economics, 2022, vol. 27, issue 2, 1700-1710

Abstract: This study investigates the impact of home country macroeconomics variables on American Depository Receipt (ADR) prices for the period 2000–2016 for France using combined cointegration approach. The results reveal strong association between ADR prices and macroeconomic variables. It is observed that, in the long run, money supply, oil price, real exchange rate and market index increase ADR prices while inflation and economic growth significantly decrease ADR prices. Similarly, the short run results reveal that exchange rate and share price index exert positive and significant effect on ADR prices whereas economic growth has negative and significant effect on ADR prices. Furthermore, bi‐directional causality between ADR prices and explanatory variables is observed. This study highlights some significant policy implications for ADR investors.

Date: 2022
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https://doi.org/10.1002/ijfe.2237

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