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National Chung Hsing University Institutional Repository - NCHUIR > 管理學院 > 財務金融學系所 > 依資料類型分類 > 期刊論文 >  An investigation on information transmission between stocks of far eastern countries and their American depositary receipts

Please use this identifier to cite or link to this item: http://nchuir.lib.nchu.edu.tw/handle/309270000/133285

標題: An investigation on information transmission between stocks of far eastern countries and their American depositary receipts
作者: Hsu, J.M.;Tsai, L.H.
徐俊明
關鍵字: ADRs;heterogeneous expectations;information transmission;trading;volume;markets;volume;model;divergence;arrival;opinion
日期: 2008
Issue Date: 2012-12-14 09:48:50 (UTC+8)
關連: Emerging Markets Finance and Trade, Volume 44, Issue 4, Page(s) 40-61.
摘要: Domestic stocks and their American depositary receipts (ADRs) are essentially twin securities listed in the home country and United States, respectively. Accounting for exchange rates and market friction, their prices should move in tandem if international markets are efficient. In reality, however, their returns are close but sometimes differ dramatically. This study hypothesizes that changes in trading volume and macro events can lead investors between two equity markets to generate heterogeneous expectations or interpretations, causing returns on one security to deviate from those on the other. The results show that changes in past domestic volume do affect current ADR returns, implying that volume contains additional information not in prices. It is also found that important macro events, especially bad news, trigger significant differences in returns between domestic shares and their ADRs. These results support our argument that heterogeneous expectations prolong price information transmission between two equity markets.
Relation: Emerging Markets Finance and Trade
Appears in Collections:[依教師分類] 徐俊明
[依資料類型分類] 期刊論文

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