메뉴 건너뛰기




Volumn 10, Issue 4, 2001, Pages 343-363

American depositary receipts an analysis of international stock price movements

Author keywords

ADRs; Cointegration; Segmentation; Stock exchange

Indexed keywords


EID: 0035648894     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1057-5219(01)00058-8     Document Type: Article
Times cited : (29)

References (36)
  • 2
    • 0007302436 scopus 로고    scopus 로고
    • The global equity investment guide: The case for investing in depositary receipts
    • and Depositary receipts (Available at: http://www.adrindex.com/adr/data/mkst0100.pdf)
    • Bank of New York. (2000). The global equity investment guide: The case for investing in depositary receipts, (available at: http://www.bankofny.com/adr/data/guide4investment.pdf); and Depositary receipts, ADRs and GDRs: 1999 Year-end Market Summary (Available at: http://www.adrindex.com/adr/data/mkst0100.pdf).
    • (2000) ADRs and GDRs: 1999 Year-end Market Summary
  • 3
    • 0007161066 scopus 로고    scopus 로고
    • Managing cross-border settlement risk: The case of Mexican ADRs
    • Dallas: Federal Reserve Bank (September)
    • Chakravorti, S. (1998). Managing cross-border settlement risk: The case of Mexican ADRs. In: Financial Industry Studies (pp. 12-24). Dallas: Federal Reserve Bank (September).
    • (1998) Financial Industry Studies , pp. 12-24
    • Chakravorti, S.1
  • 6
    • 0000472488 scopus 로고
    • Likelihood ratio statistics for autoregressive time series with a unit root
    • July
    • Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49, 1057-1072 (July).
    • (1981) Econometrica , vol.49 , pp. 1057-1072
    • Dickey, D.A.1    Fuller, W.A.2
  • 7
    • 0000013567 scopus 로고
    • Co-integration and error correction: Representation, estimation, and testing
    • Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55, 251-276.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 8
    • 84993022922 scopus 로고
    • International listings of stocks: The case of Canadian and the U.S.
    • Foerster, S. R., & Karolyi, G. A. (1993). International listings of stocks: The case of Canadian and the U.S. Journal of International Business Studies, 24, 763-784.
    • (1993) Journal of International Business Studies , vol.24 , pp. 763-784
    • Foerster, S.R.1    Karolyi, G.A.2
  • 9
    • 0002357241 scopus 로고    scopus 로고
    • The effects of market segmentation and investor recognition on asset prices: Evidence from foreign stocks listing in the U.S.
    • Foerster, S. R., & Karolyi, G. A. (1999). The effects of market segmentation and investor recognition on asset prices: Evidence from foreign stocks listing in the U.S. Journal of Finance, 54 (3), 981-1013.
    • (1999) Journal of Finance , vol.54 , Issue.3 , pp. 981-1013
    • Foerster, S.R.1    Karolyi, G.A.2
  • 11
    • 0002268752 scopus 로고
    • Does industrial structure explain the benefits of international diversification?
    • Heston, S. L., & Rouwenhorst, K. G. (1994). Does industrial structure explain the benefits of international diversification? Journal of Financial Economics, 36, 3-27.
    • (1994) Journal of Financial Economics , vol.36 , pp. 3-27
    • Heston, S.L.1    Rouwenhorst, K.G.2
  • 12
    • 0001183575 scopus 로고
    • The structure of international stock returns and the integration of capital markets
    • Heston, S. L., Rouwenhorst, K. G., & Wessels, R. E. (1995). The structure of international stock returns and the integration of capital markets. Journal of Empirical Finance, 2 (3), 173-197.
    • (1995) Journal of Empirical Finance , vol.2 , Issue.3 , pp. 173-197
    • Heston, S.L.1    Rouwenhorst, K.G.2    Wessels, R.E.3
  • 14
    • 0002212385 scopus 로고
    • Multinationals are poor tools for international diversification
    • Winter
    • Jacquillat, B., & Solnik, B. (1978). Multinationals are poor tools for international diversification. Journal of Portfolio Management, 8-12 (Winter).
    • (1978) Journal of Portfolio Management , pp. 8-12
    • Jacquillat, B.1    Solnik, B.2
  • 15
    • 38249004905 scopus 로고
    • The impact of international cross listings on risk and return: The evidence from American depository receipts
    • Jayaraman, N., Shastri, K., & Tandon, K. (1993). The impact of international cross listings on risk and return: The evidence from American depository receipts. Journal of Banking and Finance, 17, 91-103.
    • (1993) Journal of Banking and Finance , vol.17 , pp. 91-103
    • Jayaraman, N.1    Shastri, K.2    Tandon, K.3
  • 16
    • 0000439627 scopus 로고    scopus 로고
    • Diversification with American depository receipts: The dynamics and the pricing factors
    • June/July
    • Jiang, C. X. (1998). Diversification with American depository receipts: The dynamics and the pricing factors. Journal of Business Finance and Accounting, 25, 683-699 (June/July).
    • (1998) Journal of Business Finance and Accounting , vol.25 , pp. 683-699
    • Jiang, C.X.1
  • 17
    • 0000158117 scopus 로고
    • Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models
    • Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models. Econometrica, 59, 1551-1580.
    • (1991) Econometrica , vol.59 , pp. 1551-1580
    • Johansen, S.1
  • 18
    • 84981579311 scopus 로고
    • Maximum likelihood estimation and inference on cointegration-with applications to the demand for money
    • Johansen, S., & Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration-with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 52 (2), 169-210.
    • (1990) Oxford Bulletin of Economics and Statistics , vol.52 , Issue.2 , pp. 169-210
    • Johansen, S.1    Juselius, K.2
  • 19
    • 0009437270 scopus 로고    scopus 로고
    • Global stock markets in the twentieth century
    • June
    • Jorion, P., & Goetzmann, W. N. (1999). Global stock markets in the twentieth century. Journal of Finance, 54, 953-980 (June).
    • (1999) Journal of Finance , vol.54 , pp. 953-980
    • Jorion, P.1    Goetzmann, W.N.2
  • 20
    • 0001638769 scopus 로고    scopus 로고
    • Linkages between the US and European equity markets: Further evidence from cointegration tests
    • Kanas, A. (1998). Linkages between the US and European equity markets: Further evidence from cointegration tests. Applied Financial Economics, 8 (6), 607-614.
    • (1998) Applied Financial Economics , vol.8 , Issue.6 , pp. 607-614
    • Kanas, A.1
  • 21
    • 0007300753 scopus 로고    scopus 로고
    • The contribution of emerging markets in international diversification strategies
    • Kohers, T., Kohers, G., & Pandey, V. (1998). The contribution of emerging markets in international diversification strategies. Applied Financial Economics, 8 (5), 445-454.
    • (1998) Applied Financial Economics , vol.8 , Issue.5 , pp. 445-454
    • Kohers, T.1    Kohers, G.2    Pandey, V.3
  • 22
    • 0000427713 scopus 로고
    • Valuation effects of international stock exchange listings
    • Lau, S., Diltz, D., & Apilado, V. (1994). Valuation effects of international stock exchange listings. Journal of Banking and Finance, 18, 743-755.
    • (1994) Journal of Banking and Finance , vol.18 , pp. 743-755
    • Lau, S.1    Diltz, D.2    Apilado, V.3
  • 23
    • 0003217699 scopus 로고    scopus 로고
    • Large capital flows: A survey of the causes, consequences, and policy responses
    • WP/99/17
    • Lopez-Mejia, A. (1999). Large capital flows: A survey of the causes, consequences, and policy responses. IMF Working Paper, WP/99/17.
    • (1999) IMF Working Paper
    • Lopez-Mejia, A.1
  • 24
    • 0042042166 scopus 로고    scopus 로고
    • The market reaction to international cross-listings: Evidence from depositary receipts
    • Miller, D. P. (1999). The market reaction to international cross-listings: Evidence from depositary receipts. Journal of Financial Economics, 51, 103-123.
    • (1999) Journal of Financial Economics , vol.51 , pp. 103-123
    • Miller, D.P.1
  • 25
    • 84993915044 scopus 로고
    • Additional evidence on integration in the Canadian stock market
    • Mittoo, U. (1992). Additional evidence on integration in the Canadian stock market. Journal of Finance, 47, 2035-2054.
    • (1992) Journal of Finance , vol.47 , pp. 2035-2054
    • Mittoo, U.1
  • 26
    • 0000706085 scopus 로고
    • A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey, W., & West, K. (1987). A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55, 703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.1    West, K.2
  • 27
    • 77956888124 scopus 로고
    • Testing for a unit root in time series regression
    • Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75, 335-346.
    • (1988) Biometrika , vol.75 , pp. 335-346
    • Phillips, P.C.B.1    Perron, P.2
  • 28
    • 0032364937 scopus 로고    scopus 로고
    • An examination of the relationship between stock index cash and futures markets: A cointegration approach
    • Pizzi, M. A., Economopoulos, A. J., & O'Neill, H. M. (1998). An examination of the relationship between stock index cash and futures markets: A cointegration approach. Journal of Futures Markets, 18, 297-305.
    • (1998) Journal of Futures Markets , vol.18 , pp. 297-305
    • Pizzi, M.A.1    Economopoulos, A.J.2    O'Neill, H.M.3
  • 29
    • 0007290871 scopus 로고    scopus 로고
    • ADRs: One way to invest in Mexico
    • January 12-18
    • Riley, J. (1998, January 12-18). ADRs: One way to invest in Mexico. El Financiero International, 7, 13.
    • (1998) El Financiero International , vol.7 , pp. 13
    • Riley, J.1
  • 30
    • 0032745969 scopus 로고    scopus 로고
    • Transaction costs and international portfolio diversification
    • October
    • Rowland, P. F. (1999). Transaction costs and international portfolio diversification. Journal of International Economics, 49 (1), 145-170 (October).
    • (1999) Journal of International Economics , vol.49 , Issue.1 , pp. 145-170
    • Rowland, P.F.1
  • 31
    • 0007228237 scopus 로고    scopus 로고
    • Multinationals and the gains from international diversification
    • September
    • Rowland, P. F., & Tesar, L. L. (1998). Multinationals and the gains from international diversification. NBER Working Paper, No. 6733, September.
    • (1998) NBER Working Paper, No. 6733 , vol.6733
    • Rowland, P.F.1    Tesar, L.L.2
  • 34
    • 84978580939 scopus 로고
    • Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach
    • Wahab, M., & Lashgari, M. (1993). Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach. Journal of Futures Markets, 13 (7), 711-742.
    • (1993) Journal of Futures Markets , vol.13 , Issue.7 , pp. 711-742
    • Wahab, M.1    Lashgari, M.2
  • 35
    • 84993052892 scopus 로고
    • An examination of international equity markets using American depositary receipts (ADRs)
    • April
    • Webb, S. E., Officer, D. T, & Boyd, B. E. (1995). An examination of international equity markets using American depositary receipts (ADRs). Journal of Business Finance and Accounting, 22 (3), 415-430 (April).
    • (1995) Journal of Business Finance and Accounting , vol.22 , Issue.3 , pp. 415-430
    • Webb, S.E.1    Officer, D.T.2    Boyd, B.E.3
  • 36
    • 0030538862 scopus 로고    scopus 로고
    • U.K. and U.S. Trading of British cross-listed stocks: An intra-day analysis of market integration
    • Summer
    • Werner, I. M., & Kleidon, A. W. (1996). U.K. and U.S. Trading of British cross-listed stocks: An intra-day analysis of market integration. Review of Financial Studies, 9 (2), 619-664 (Summer).
    • (1996) Review of Financial Studies , vol.9 , Issue.2 , pp. 619-664
    • Werner, I.M.1    Kleidon, A.W.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.