Enforcing the law of one price: Nonlinear mean reversion in the ADR market

Managerial Finance

Volumn 31, Issue 8, 2005, Pages 1-17

  Dante Suarez, E ^a  

^a TRINITY UNIVERSITY   (United States)

Author keywords

Arbitrage; Depositary receipts (ADR); Financial integration; Nonlinear mean reversion

Indexed keywords

EID: 85016197638     PISSN: 03074358     EISSN: 17587743     Source Type: Journal    
DOI: 10.1108/03074350510769776     Document Type: Article

References (14)

1. Balke, Nathan, and Thomas Fomby, (1997), ‘Threshold Cointegration’, International Economic Review, 38, No. 3, pp.627-645.
2. Foerster, S. R., and G. A. Karolyi (1998), ‘The effects of market segmentation and investor recognition on asset prices: Evidence from foreign stocks listing in the United States’, Journal of Finance, 3, 981-1013.
3. Kaul, Aditya, and Vikas Mehrotra (2000), ‘In Search of International Integration: An Examination of Intradaily North Amerit an Trading of Canadian Dually Listed Stocks’, Working Paper, University of Alberta.
4. Kim, Minho, Andrew C. Szakmary, and Ike Marthur, (2000), ‘Price transmission dynamics between ADRs and their underlying foreign securities’, Journal of Banking and Finance, 24, pp.1359-1382.
5. Kleidon, Allan, and Ingrid Werner (1996), ‘U.K. and U.S trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration’, Review of Financial Studies, 9, pp.619-664.
6. Martens, Martin, Paul Kofman, and Ton C. F. Vorst, (1998), ‘A Threshold Error Correction Model for Intraday Futures and Index Returns’, Journal of Applied Econometrics, 13, pp.245-263.
7. Michael, P. A., R. Nobay, and D. A. Peel, (1997), ‘Transactions costs and nonlinear adjustment in real exchange rates: An empirical investigation’, Journal of Political Economy, 105, pp.862-879.
8. Miller, D., and M. Morey (1996), ‘The intraday pricing behavior of internationally dually listed securities’, Journal of Financial Markets, Institutions and Money, 6, pp.77-87.
9. Obstfeld, M., and A. Taylor, (1997), ‘Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher’s Commodity Points Revisited’, NBER Paper, No. 6053.
10. Prakash, Gauri, and Alan Taylor, (1997), ‘Measuring Market Integration: A Model of Arbitrage with an Econometric Application to the Gold Standard, 1879-1913’, NBER Working Paper N0 6073, June.
11. Rosenthal, L. (1983), ‘An empirical test of the efficiency of the ADR markets’, Journal of Banking and Finance, 7, 17-29.
12. Suarez, Eugenio D. (2003), ‘Arbitrage Opportunities in the Depositary Receipts Market: Myth or Reality?’, Working Paper, Trinity University, September.
13. Tsay, Ruey, (1989), ‘Testing and Modelling Threshold Autoregressive Processes’, Journal of the American Statistics Association, Vol. 84, No.405, pp.231-240.
14. Willoughby, Jack (1998), ‘Execution’s Song’, Institutional Investor, November, pp.51-56.