Title: The dynamic relationship between the prices of ADRs and their underlying stocks: evidence from the threshold vector error correction model
Authors: Chung, HM
Ho, TW
Wei, LJ
管理科學系
資訊管理與財務金融系 註:原資管所+財金所
Department of Management Science
Department of Information Management and Finance
Issue Date: 10-Nov-2005
Abstract: This paper sets out to estimate the dynamic relationship that exists between the prices of ADRs and their underlying stocks, in both the short run and the long run, using a number of recent developments of the threshold cointegration framework. The empirical results support the notion of nonlinear mean reversion of the prices of ADRs and their underlying stocks.
URI: http://dx.doi.org/10.1080/00036840500218729
http://hdl.handle.net/11536/14385
ISSN: 0003-6846
DOI: 10.1080/00036840500218729
Journal: APPLIED ECONOMICS
Volume: 37
Issue: 20
Begin Page: 2387
End Page: 2394
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