American depositary receipts: Asia-Pacific evidence on convergence and dynamics

Haiqiang Chen, Paul Moon Sub Choi, Hyunseob Kim

Research output: Contribution to journalArticlepeer-review

7 Scopus citations

Abstract

This study explores the convergence between the prices of American Depositary Receipts (ADRs) listed by Asia-Pacific firms and their original shares listed on home exchanges. Instead of relying on conventional parametric approaches that carry embedded model-specification errors, we contribute to the literature by introducing a nonparametric technique to estimate the convergence speed parameter. We present the time-varying characteristics of both firm and country-level convergence speed parameters. Furthermore, we empirically verify and visually corroborate the comparative dynamics of convergence with respect to short sales restrictions, trading time differences, and market-tier measures proxied by the Morgan Stanley Capital International indices. We conclude that enhancement in market efficiency accelerates the reversion to the parity of ADR-pairs.

Original languageEnglish
Pages (from-to)346-368
Number of pages23
JournalJournal of Multinational Financial Management
Volume18
Issue number4
DOIs
StatePublished - Oct 2008

Keywords

  • American depositary receipts
  • Nonlinear convergence
  • Nonparametric estimation

Fingerprint

Dive into the research topics of 'American depositary receipts: Asia-Pacific evidence on convergence and dynamics'. Together they form a unique fingerprint.

Cite this