The Effects of the Brazilian ADRs Program on Domestic Market Efficiency

Benjamin Tabak and Eduardo Lima ()

No 43, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: This paper examines the impact on Brazilian stocks following American Depositary Receipts (ADRs) listing in the U.S. stock markets. Evidence suggests that a systematic change has taken place in the post-listing period as the multivariate variance ratio statistics have significantly decreased if compared to the pre-listing period, which indicates a move toward a more efficient domestic stock market. This empirical evidence is robust to the use of dollar and local currency-denominated returns. These results add to the literature that finds evidence on changes in domestic volatility and abnormal returns around listing dates.

Date: 2002-06
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