ADRs and underlying stock returns: empirical evidence from India

被引：0
作者：
Patel S.A. [1 ]
机构：
[1] Goa Institute of Management, Sanquelim Campus, Poriem, Sattari, 403505, Goa
来源：
AI and Society | 2015年 / 30卷 / 02期
关键词：
American Depository Receipt; Impulse response function and variance decomposition; Price discovery; VECM;
D O I：
10.1007/s00146-014-0551-x
中图分类号：
O212 [数理统计];
学科分类号：
摘要：
The present study empirically investigates the dynamic linkages between American Depository Receipts (ADRs) and their respective underlying stock returns of Indian stock market. Study analyzes daily data from the respective date of issue of that ADR to April 30, 2013 by applying augmented Dickey–Fuller unit root test, Johansen cointegration test, Granger causality test, vector error correction model, impulse response function and variance decomposition. The empirical result shows that both underlying stocks and ADRs are level stationary and long-run equilibrium relationship exists between them. Further, Granger causality test uncovers that ADRs lead underlying stocks. Additionally, impulse response function reveals that both underlying stocks and ADRs positively affect each other. Likewise, variance decomposition provides evidence that underlying stocks explain around half of the variance of ADRs. Major conclusion of this study is that price discovery takes place in ADR market, proposing that arrival of new information disseminates faster in ADR market. © 2014, Springer-Verlag London.
引用
收藏
页码：299 / 310
页数：11
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