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|標題:||The Effects of Financial Crisis and Currency Risk on
International Market Linkage:Some Evidence from ADRs and Their Underlying Stocks
|關鍵字:||International Market Linkage;國際市場連結;ADRs;Cointegration;Financial crisis;Exchange Rate Volatility;美國存託憑證;共整合;金融風暴;匯率波動性||出版社:||財務金融系所||引用:||Bae, K-H., Karolyi, G.A., Stulz, R.M., 2003. Anewapproach to measuring financial contagion. Reviewof Financial Studies 16, 717-763. Baig, T., Goldfajn, I., 1999. Financial market contagion in the Asian Crisis. IMF Staff Papers 46, 167-195. Bailey, W. and R.M. Stulz, 1990. Measuring the benefits of international diversification with daily data: The case of pacific basin stock markets. The Journal of Portfolio. Management, 16(4), 57-61. Chan, K.C., W. Fong, B. Kho and R.M. Stulz, 1996. Information, trading and stock returns: Lessons from dually-listed securities. Journal of Banking and Finance, 20, 1161-1187. Chowdhry, Bhagwan, and Vikram Nanda, 1991. Multimarket trading and market liquidity. Review of Financial Studies 4, No. 3, 483-511. Chung Huimin, 2004. The contagious effects of the Asian financial crisis: some evidence from ADR and country funds. Journal of Multinational Financial Management (in press), 2004 - 184.108.40.206 Copeland, Maggie and Tom Copeland, 1998. Leads, Lags, and Trading in Global Markets. Financial Analysts Journal, Vol. 54(4), pp.70-80. Dungey, M., Martin, V., 2001. Contagion across financial markets: An empirical assessment, Working paper. Ely, D. and Salehizadeh, M., 2001. American depositary receipts an analysis of international stock price movements. International Review of Financial Analysis,10,343-363 Fleming, Kirby and Ostdiek, 1998. Information and volatility linkages in the sotck, bond, and money markets. Journal of Financial Economics, 49: 111-137 Han, K.C., Lee, S.H., Suk, D.Y., 2000. Contagious effects: evidence from the Asian Crisis, Working paper. Harris, F. H. deB., McInish, T. H., Shoesmith, G. L., and Wood, R. A., 1995. Cointegration, error correction, and price discovery on informationally linked security markets. Journal of Financial and Quantitative Analysis, 30, 563-579 (December). Hauser, S., Y. Tanchuma and U. Yaari, 1998. International transfer of pricing information between dually listed stocks. Journal of Financial Research, XXI(2), 138-156. 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). Kasa, K., 1992. Common stochastic trends in international stock markets. Journal of Monetary Economics 29 (1), 95-124. Kato, K., Linn, S., Schallheim, J., 1991. Are there arbitrage opportunities in the markets for American depository receipts? J. Int. Financ. Mark. Institutions Money 1, 13-32. Kim, M., Szakmary, C., Andrew, C., Mathur, I., 2000. Price transmission dynamics between ADRs and their underlying foreign securities. J. Banking Finance 24, 1359-1382. Lee, C.M.C., Ready, M., 1991. Inferring trade direction from intra-day data. Journal of Finance 46, 733-746. Park, J., Tavakkol, A., 1994. Are ADRs a dollar translation of their underlying securities? : the case of Japanese ADRs'. J. Int. Financ. Mark. Inst. Money 4, 77-87. Rowland, P. F., 1999. Transaction costs and international portfolio diversification. Journal of International Economics, 49 (1), 145-170 (October). Wahab, M., and 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. Webb, S. E., Officer, D. T., and 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). Werner, I. M., and 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). Wong, T. and R. Zurbruegg, 1998. Pricing behaviour of Asian dually listed stocks, UNSW Working paper Series 1998-01, The School of Banking and Finance, The University of New South Wales, Australia.||摘要:||
Long-run convergence evidenced by cointegration suggests that if price movement of ADR and the underlying share diverges, market forces will act to eliminate the gap. The
dynamics of the ADR portfolios can well be influenced by the deviation from the long-run relationship, or specifically, the error terms in the cointegration equation. Therefore, we examine the long run relationship of stock price between ADRs and their respective
underlying securities particularly in emerging markets, especially those countries experience the financial crisis in this decade.
We employ the EC terms as proxies for the amount of information generated by individual equity markets and add dummy variables to capture the effect of financial crisis
and exchange rate volatility to the long-run equilibrium relationship between ADRs market and underlying stocks market. Resolving the value discrepancies by adjustment in prices of foreign equities become stronger during the financial crisis period, however, become weaker by adjustment in prices of ADRs. The results also demonstrate that high exchange rate volatility will improve the market forces to eliminate the gap of same-day price movement of ADR and the underlying share diverges by adjustment in prices of foreign equities. On the contrary, low exchange rate volatility will improve the market forces to eliminate the gap of one-day lag price movement of ADR and the underlying share diverges by adjustment in prices of ADRs.
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