Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/70901
標題: WHY DO PRICE SPREADS BETWEEN DOMESTIC SHARES AND THEIR ADRS VARY OVER TIME?
作者: Hsu, J.
Wang, H.Y.
關鍵字: sequential information arrival;market;model;divergence;opinion;volume
Project: Pacific Economic Review
期刊/報告no:: Pacific Economic Review, Volume 13, Issue 4, Page(s) 473-491.
摘要: 
The exchange translated price spreads between domestic stocks and their American depositary receipts (ADRs) are conventionally ascribed to market friction. However, price spreads vary over time and sometimes fluctuate dramatically, which is hardly explainable by friction costs and implies the existence of arbitrage opportunities. This study hypothesizes that changes in trading volume and macro events generate heterogeneous expectations between two markets, which augments price spreads. Using a sample of 37 dual-listing firms of six Far Eastern countries, we confirm this hypothesis by showing that domestic volume and macro events shift price spreads. We also find that: (i) the liberalization of capital control in Korea and Taiwan slashed price spreads; and (ii) investors can profit by trading Hong Kong stocks and ADRs.
URI: http://hdl.handle.net/11455/70901
ISSN: 1361-374X
DOI: 10.1111/j.1468-0106.2008.00413.x
Appears in Collections:期刊論文

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