EconPapers    
Economics at your fingertips  
 

Understanding the ADR premium under market segmentation

Ajay Shah (), Ila Patnaik () and Matthieu Stigler

Working Papers from eSocialSciences

Abstract: Capital controls can induce large and persistent deviations from the Law of One Price for cross-listed stocks in international capital markets. A considerable literature has explored rm-speci c factors which in uence ADR pricing when LOP is violated. In this paper, we examine the interlinkages between Indian ADR premiums and macroe- conomic time-series. We construct an ADR premium index, whereby diversi cation across rms diminishes idiosyncratic uctuations asso- ciated with each security. We nd that the S&P 500 index and the domestic Nifty index in uence the ADR Premium Index. Positive shocks to the ADR premium index precede higher purchases by for- eign investors on the domestic market, and precede positive returns on the domestic index. [Working Paper No. 2010-71]

Keywords: capitalmarketintegration; depositoryreceipts (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ifn
Date: 2010-09
Note: Institutional Papers
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://www.esocialsciences.org/Download/repecDownl ... &AId=2826&fref=repec

Related works:
Working Paper: Understanding the ADR premium under market segmentation (2010) Downloads
Working Paper: Understanding the ADR premium under market segmentation (2010) Downloads
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:ess:wpaper:id:2826

Access Statistics for this paper

More papers in Working Papers from eSocialSciences
Bibliographic data for series maintained by Padma Prakash ().

 
Page updated 2018-12-17
Handle: RePEc:ess:wpaper:id:2826